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Fluctuation analysis for the loss from default
13 references·5 citing·45 second hop
Fluctuation analysis for the loss from default (2014)Fluctuation analysis for the loss from de…Stability in a Model of Interbank Lending (2013)Stability in a Model of Inter…Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)Localization and Exact Simula…Large Deviations for a Mean Field Model of Systemic Risk (2013)Large Deviations for a Mean F…Exact Sampling of Jump Diffusions (2013)Exact Sampling of Jump Diffus…Default clustering in large portfolios: Typical events (2013)Default clustering in large p…The Law of Large Numbers for self-exciting correlated defaults (2012)The Law of Large Numbers for …LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (2012)LARGE PORTFOLIO ASYMPTOTICS F…Stochastic Evolution Equations in Portfolio Credit Modelling (2011)Stochastic Evolution Equation…Large portfolio losses: A dynamic contagion model (2009)Large portfolio losses: A dyn…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Credit contagion and aggregate losses (2005)Credit contagion and aggregat…A Hilbertian approach for fluctuations on the McKean-Vlasov model (1997)A Hilbertian approach for flu…Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996)Weak convergence of stochasti…Inference for Large Financial Systems (2017)Inference for Large Financial…A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line (2017)A stochastic McKean–Vlasov eq…A Dynamic Network Model of Interbank Lending Systemic Risk and Liquidity Provisioning (2017)A Dynamic Network Model of In…HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (2016)HYDRODYNAMIC LIMIT OF ORDER-B…Affine Point Processes: Approximation and Efficient Simulation (2015)Affine Point Processes: Appro…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Financial Contagion (2000)The Economic Crisis is a Crisis for Economic Theory (2010)Firm-network characteristics and economic robustness to natural disasters (2011)Contagion and risk-sharing on the inter-bank market (2013)Network models and financial stability (2007)Contagion in financial networks (2010)Systemic risk in banking ecosystems (2011)Dynamic programming for mean-field type control (2014)Systemic Risk and Stochastic Games with Delay (2018)Infinite dimensional analysis and stochastic processes (1985)On the McKean‐Vlasov Limit for Interacting Diffusions (1988)A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems (2019)Nonparametric estimation for interacting particle systems: McKean–Vlasov models (2021)Parameter estimation of discretely observed interacting particle systems (2023)Brownian Motion and Stochastic Calculus (2007)Liquidity and leverage (2008)Systemic Risk in Interbanking Networks (2015)Strong solutions of mean-field stochastic differential equations with irregular drift (2018)Discrete Choice with Social Interactions (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Convergence, fluctuations and large deviations for finite state mean field games via the Master Equation (2018)Particle systems with singular interaction through hitting times: Application in systemic risk modeling (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)Stochastic Differential Equations and Diffusion Processes (1983)An introduction to stochastic partial differential equations (2006)Evolving communities with individual preferences (2014)Integrability conditions for space–time stochastic integrals: Theory and applications (2015)Pathwise large deviations for the rough Bergomi model (2018)Continuous Martingales and Brownian Motion (1999)Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Risk Analysis for Large Pools of Loans (2018)An SPDE model for systemic risk with endogenous contagion (2019)A risk-factor model foundation for ratings-based bank capital rules (2003)Multi-period corporate default prediction with stochastic covariates (2006)$N$-player games and mean-field games with absorption (2018)McKean–Vlasov limit for interacting systems with simultaneous jumps (2018)Continuous Martingales and Brownian Motion (1991)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)
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References

  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2013Large Deviations for a Mean Field Model of Systemic Risk107 cited
  • 2013Default clustering in large portfolios: Typical events77 cited
  • 2013Stability in a Model of Interbank Lending74 cited
  • 2009Large portfolio losses: A dynamic contagion model72 cited
  • 2012LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT70 cited
  • 1997A Hilbertian approach for fluctuations on the McKean-Vlasov model62 cited
  • 1996Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case61 cited
  • 2011Stochastic Evolution Equations in Portfolio Credit Modelling59 cited
  • 2013Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations58 cited
  • 2013Exact Sampling of Jump Diffusions48 cited
  • 2012The Law of Large Numbers for self-exciting correlated defaults43 cited

Cited by

  • 2017Inference for Large Financial Systems32 cited
  • 2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited

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  • 2015Affine Point Processes: Approximation and Efficient Simulation25 cited
  • 2016HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS23 cited
  • 2017A Dynamic Network Model of Interbank Lending Systemic Risk and Liquidity Provisioning22 cited