The Law of Large Numbers for self-exciting correlated defaults

Stochastic Processes and their Applications

Volumn 122, Issue 8, 2012, Pages 2781-2810

  Cvitanić, Jakša ^a   Ma, Jin ^b   Zhang, Jianfeng ^b  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Correlated defaults; Credit risk; Law of Large Numbers; Self exciting

Indexed keywords

AVERAGE LOSS; AVERAGE NUMBERS; COMPATIBILITY CONDITIONS; CORRELATED DEFAULTS; CREDIT RISKS; FIXED-POINT PROBLEM; LAW OF LARGE NUMBERS; MONOTONICITY CONDITIONS; SELF-EXCITING;

COMPUTER SIMULATION; STATISTICS; STOCHASTIC SYSTEMS;

RISK ASSESSMENT;

EID: 84861469661     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2012.04.003     Document Type: Article

References (22)

1. T.R. Bielecki, and M. Rutkowski Credit Risk: Modeling, Valuation and Hedging Springer Finance 2002 Springer-Verlag Berlin
2. P. Collin-Dufresne, R. Goldstein, J. Helwege, Is credit event risk priced? Modeling contagion via updating of beliefs, Working Paper, Univ. California Berkeley, 2003.
3. P. Collin-Dufresne, R. Goldstein, and J. Hugonnier A general formula for valuing defaultable securities Econometrica 72 2004 1377 1407
4. P. Dai Pra, W.J. Runggaldier, E. Sartori, and M. Tolotti Large portfolio losses: a dynamic contagion model The Annals of Applied Probability 19 2009 347 394
5. M. Davis, and V. Lo Infectious default Quantitative Finance 1 2001 382 387
6. A. Dembo, J.D. Deuschel, and D. Duffie Large portfolio losses Finance and Stochastics 8 2004 3 16
7. D. Duffie, and K. Singleton Credit Risk: Pricing, Measurement, and Management 2003 Princeton University Press
8. D. Filipovic, L. Overbeck, and T. Schmidt Dynamic CDO term structure modeling Mathematical Finance 21 2011 53 71
9. R. Frey, J. Backhaus, Credit derivatives in models with interacting default intensities: a Markovian approach, Preprint, Dept. of Mathematics, Universitat Leipzig, 2006.
10. R. Frey, and J. Backhaus Dynamic hedging of syntentic CDO tranches with spread risk and default contagion Journal of Economic Dynamics and Control 34 2010 710 724
11. K. Giesecke, and L.R. Goldberg Sequential defaults and incomplete information Journal of Risk 7 2004 1 26
12. K. Giesecke, K. Spiliopoulos, R. Sowers, Default clustering in large portfolios: typical and atypical events, Preprint, 2010.
13. K. Giesecke, and S. Weber Cyclical correlations, credit contagion and portfolio losses Journal of Banking and Finance 28 2005 3009 3036 (Pubitemid 39407469)
14. K. Giesecke, and S. Weber Credit contagion and aggregate losses Journal of Economic Dynamics and Control 30 2006 741 767 (Pubitemid 43585555)
15. U. Horst Stochastic cascades, contagion and large portfolio losses Journal of Economic Behaviour and Organization 63 2007 25 54
16. R.A. Jarrow, and F. Yu Counterparty risk and the pricing of defaultable securities Journal of Finance 53 2001 2225 2243
17. M. Jeanblanc, and S. Song An explicit model of default time with given survival probability Stochastic Processes and their Applications 21 2011 1678 1704
18. M. Jeanblanc, S. Song, Random times with given survival probability and their F-martingale decomposition formula, Preprint, 2011.
19. M. Jeanblanc, M. Yor, and M. Chesney Mathematical Methods for Financial Markets Springer Finance 2009 Springer-Verlag London, Ltd. London
20. D. Lando Credit Risk Modeling: Theory and Applications 2004 Princeton University Press
21. A. Mc Neil, R. Frey, and P. Embrechts Quantitative Risk Management: Concepts, Techniques, and Tools. 2005 Princeton University Press
22. F. Yu Correlated Defaults in Intensity-Based Models Mathematical Finance 17 2007 155 173