Fluctuation analysis for the loss from default

被引：26

作者：

Spiliopoulos, Konstantinos ^{[1
]}

Sirignano, Justin A. ^{[2
]}

Giesecke, Kay ^{[2
]}

机构：

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

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

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 07期

关键词：

Central limit theorem; Portfolio credit risk; Interacting particle system; SOBOLEV SPACE THEORY; EXACT SIMULATION; SPDES;

D O I：

10.1016/j.spa.2014.02.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：2322 / 2362

页数：41

共 31 条

[1]

Adams R. A., 1978, SOBOLEV SPACES

[2]

[Anonymous], 1964, APPL HARMONIC ANAL

[3] Exact simulation of diffusions [J].

Beskos, A ;

Roberts, GO .

ANNALS OF APPLIED PROBABILITY, 2005, 15 (04) :2422-2444

[4] DISTRIBUTION FUNCTION INEQUALITIES FOR MARTINGALES [J].

BURKHOLDER, DL .

ANNALS OF PROBABILITY, 1973, 1 (01) :19-42

[5] Stochastic Evolution Equations in Portfolio Credit Modelling [J].

Bush, N. ;

Hambly, B. M. ;

Haworth, H. ;

Jin, L. ;

Reisinger, C. .

SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01) :627-664

[6] Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations [J].

Chen, Nan ;

Huang, Zhengyu .

MATHEMATICS OF OPERATIONS RESEARCH, 2013, 38 (03) :591-616

[7] The Law of Large Numbers for self-exciting correlated defaults [J].

Cvitanic, Jaksa ;

Ma, Jin ;

Zhang, Jianfeng .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (08) :2781-2810

[8] Common failings: How corporate defaults are correlated [J].

Das, Sanjiv R. ;

Duffie, Darrell ;

Kapadia, Nikunj ;

Saita, Leandro .

JOURNAL OF FINANCE, 2007, 62 (01) :93-117

[9]

Del Barrio E., 2007, LECT EMPIRICAL PROCE

[10]

Ethier S. N., 2005, WILEY SERIES PROBABI

← 1 2 3 4 →