Heterogeneous credit portfolios and the dynamics of the aggregate losses

Stochastic Processes and their Applications

Volumn 119, Issue 9, 2009, Pages 2913-2944

  Dai Pra, Paolo ^a   Tolotti, Marco ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Central limit theorems in Banach spaces; Credit contagion; Intensity based models; Large deviations; Large portfolio losses; Random environment

Indexed keywords

CENTRAL LIMIT THEOREMS IN BANACH SPACES; CREDIT CONTAGION; INTENSITY BASED MODELS; LARGE DEVIATIONS; LARGE PORTFOLIO LOSSES; RANDOM ENVIRONMENT;

BANACH SPACES; COMPUTATIONAL FLUID DYNAMICS; RISK ASSESSMENT; RISK PERCEPTION; TOPOLOGY;

IMAGE CODING;

EID: 68349141073     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2009.03.006     Document Type: Article

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