SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Default Clustering in Large Portfolios: Typical Events · Study

PreprintShelves

PreprintDefault Clustering in Large Portfolios: Typical Events

Kay Giesecke2011

OA

Preprintgreen2011

Default Clustering in Large Portfolios: Typical Events

Kay Giesecke · Konstantinos Spiliopoulos · Richard B. Sowers

17 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Credit Risk and Financial Regulations Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 17 citations exist upstream.

References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1991Brownian motion and stochastic calculus 1991Continuous Martingales and Brownian Motion 2007Common Failings: How Corporate Defaults Are Correlated 2018Exploring the sources of default clustering 2005Credit contagion and aggregate losses 2009Large portfolio losses: A dynamic contagion model 2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Inference for Large Financial Systemsarticle · 7 shared references 2013Default clustering in large portfolios: Typical eventsarticle · 5 shared references 2018Risk Analysis for Large Pools of Loansarticle · 5 shared references 2014Fluctuation analysis for the loss from defaultarticle · 5 shared references 2015Affine Point Processes: Approximation and Efficient Simulationarticle · 5 shared references 2015Default Clustering in Large Pools: Large Deviationsarticle · 5 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.1736843

openalex_workW1559997461

Links

Imported from OpenAlex (CC0) — nothing here is generated.