Fluctuation Analysis for the Loss from Default

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation

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Year of publication:	2014
Authors:	Spiliopoulos, Konstantinos
Other Persons:	Sirignano, Justin (contributor) ; Giesecke, Kay (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Insolvenz \| Insolvency \| Theorie \| Theory \| Kreditrisiko \| Credit risk \| Konjunktur \| Business cycle \| Verlust \| Loss

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 5, 2014 erstellt
Other identifiers:	10.2139/ssrn.2226994 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013064447