The loss given default of a low-default portfolio with weak contagion
DOI10.1016/J.INSMATHECO.2015.10.005zbMATH Open1348.91187OpenAlexW2175270633MaRDI QIDQ903339FDOQ903339
Authors: Li Wei, Zhongyi Yuan 
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.005
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asymptotic analysisrisk measuredefault probabilitySarmanov distributionloss given defaultcredit contagionasymptotic (in)dependencelow-default portfolio
Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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Cited In (9)
- A limit distribution of credit portfolio losses with low default probabilities
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Confidence sets and confidence bands for a beta distribution with applications to credit risk management
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- LLN-type approximations for large portfolio losses
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- A generic framework for stochastic loss-given-default
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
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