LARGE PORTFOLIO CREDIT RISK MODELING

Mark H. Davis · JUAN CARLOS ESPARRAGOZA-RODRIGUEZ

25 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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

Credit Risk and Financial Regulations Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.

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 — 25 citations exist upstream.

References

2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues 1970Multiple channel queues in heavy traffic. I 1998Strong approximations for Markovian service networks 2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 2007Credit rating dynamics and Markov mixture models 2004Confidence sets for continuous-time rating transition probabilities 2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1971Multiple channel queues in heavy traffic

Cited by

2007Pricing portfolio credit derivatives

Explore the map →

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

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