Large portfolio losses: A dynamic contagion model

Annals of Applied Probability

Volumn 19, Issue 1, 2009, Pages 347-394

  Pra, Paolo Dai ^a   Runggaldier, Wolfgang J ^a   Sartori, Elena ^a   Tolotti, Marco ^b,c,d  

^a UNIVERSITY OF PADOVA   (Italy)

^b BOCCONI UNIVERSITY   (Italy)

^c SCUOLA NORMALE SUPERIORE   (Italy)

^d CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Credit contagion; Credit crisis; Interacting particle systems; Large deviations; Large portfolio losses; Mean field interaction; Nonreversible Markov processes; Phase transition

Indexed keywords

EID: 64149086366     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/08-AAP544     Document Type: Article

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