We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a...

We study large deviations and rare default clustering events in a dynamic large heterogeneous pool of interconnected components.Defaults come as Poisson events and the default intensities of the different components in the system interact through the empirical default rate and via systematic...