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Fluctuation analysis for the loss from default · Study

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ArticleFluctuation analysis for the loss from default

Konstantinos Spiliopoulos2014

OA

Articlebronze2014

Fluctuation analysis for the loss from default

Konstantinos Spiliopoulos · Justin A. Sirignano · Kay Giesecke

37 citations·0/0 files stored·Stochastic Processes and their Applications

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

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References

2007Common Failings: How Corporate Defaults Are Correlated 2005Credit contagion and aggregate losses 2013Large Deviations for a Mean Field Model of Systemic Risk 2013Default clustering in large portfolios: Typical events 2013Stability in a Model of Interbank Lending 2009Large portfolio losses: A dynamic contagion model 2012LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT 1997A Hilbertian approach for fluctuations on the McKean-Vlasov model

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2017Inference for Large Financial Systems

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2017Inference for Large Financial Systemsarticle · 8 shared references 2018Risk Analysis for Large Pools of Loansarticle · 6 shared references 2019An SPDE model for systemic risk with endogenous contagionarticle · 6 shared references 2015Systemic Risk in Interbanking Networksarticle · 5 shared references 2013Counterparty Contagion in Context: Contributions to Systemic Riskchapter · 5 shared references 2012LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULTarticle · 3 shared references

Details

Year2014

Typearticle

Published2014-03-14

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2014.02.010

openalex_workW2949973789

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