Pages that link to "Item:Q1948691"
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The following pages link to Default clustering in large portfolios: typical events (Q1948691):
Displaying 45 items.
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- A Curie-Weiss model with dissipation (Q393396) (← links)
- Fluctuation analysis for the loss from default (Q402480) (← links)
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- Sharp asymptotics for large portfolio losses under extreme risks (Q666988) (← links)
- Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (Q784739) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- A stochastic partial differential equation model for the pricing of mortgage-backed securities (Q1615911) (← links)
- \(N\)-player games and mean-field games with absorption (Q1617124) (← links)
- The pricing of basket options: a weak convergence approach (Q1728166) (← links)
- Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs (Q1994897) (← links)
- An SPDE model for systemic risk with endogenous contagion (Q1999595) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- \(N\)-player games and mean-field games with smooth dependence on past absorptions (Q2077351) (← links)
- Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions (Q2116481) (← links)
- Dynamic contagion in a banking system with births and defaults (Q2292038) (← links)
- Mean field analysis of neural networks: a central limit theorem (Q2301498) (← links)
- Particle systems with a singular mean-field self-excitation. Application to neuronal networks (Q2342403) (← links)
- On the effect of heterogeneity on flocking behavior and systemic risk (Q2409063) (← links)
- Closed-form likelihood estimation for one type of affine point processes (Q2830794) (← links)
- Mean-Field Limit of a Stochastic Particle System Smoothly Interacting Through Threshold Hitting-Times and Applications to Neural Networks with Dendritic Component (Q3195479) (← links)
- A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning (Q3387916) (← links)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- Systemic Risk and Default Clustering for Large Financial Systems (Q4560344) (← links)
- A Multivariate Default Model with Spread and Event Risk (Q4585901) (← links)
- Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing (Q5014250) (← links)
- Mean Field Limits of Particle-Based Stochastic Reaction-Diffusion Models (Q5024686) (← links)
- DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES (Q5061485) (← links)
- Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk (Q5080491) (← links)
- An adaptive dynamical model of default contagion (Q5092640) (← links)
- Network Effects in Default Clustering for Large Systems (Q5108926) (← links)
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224) (← links)
- Mean Field Analysis of Neural Networks: A Law of Large Numbers (Q5219306) (← links)
- Default Clustering in Large Pools: Large Deviations (Q5250039) (← links)
- Long Time Results for a Weakly Interacting Particle System in Discrete Time (Q5256268) (← links)
- Systemic Risk in Interbanking Networks (Q5258451) (← links)
- Well-posedness of a system of SDEs driven by jump random measures (Q6051211) (← links)
- Mean field games with absorption and common noise with a model of bank run (Q6072906) (← links)
- Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation (Q6549627) (← links)
- Computation of VaR for portfolios in intensity models (Q6579756) (← links)
- Stochastic PDEs for large portfolios with general mean-reverting volatility processes (Q6612334) (← links)
- Importance sampling for a simple Markovian intensity model using subsolutions (Q6638915) (← links)
- An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line (Q6658932) (← links)
- Mean field limits of particle-based stochastic reaction-drift-diffusion models (Q6668490) (← links)
