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LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT

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References

2006Multi-period corporate default prediction with stochastic covariates973 cited
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2009Large portfolio losses: A dynamic contagion model72 cited
2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK70 cited

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2018Risk Analysis for Large Pools of Loans47 cited
2016Modeling Financial Sector Joint Tail Risk in the Euro Area41 cited
2019An SPDE model for systemic risk with endogenous contagion

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2014Fluctuation analysis for the loss from default37 cited

2013Counterparty Contagion in Context: Contributions to Systemic Risk35 cited

2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives34 cited

2017Inference for Large Financial Systems32 cited

2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited

2013Bilateral credit valuation adjustment for large credit derivatives portfolios26 cited

2015Affine Point Processes: Approximation and Efficient Simulation25 cited