Fluctuation analysis for the loss from default

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Spiliopoulos, Konstantinos¹  Sirignano, Justin A.²  Giesecke, Kay² 

[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA

[2] Stanford Univ, Dept Management Sci & Engn, Stanford, CA 94305 USA

关键词: Central limit theorem;    Portfolio credit risk;    Interacting particle system;   

DOI  :  10.1016/j.spa.2014.02.010

来源: Elsevier

【 摘 要 】

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free