Default clustering in large portfolios: Typical events

Annals of Applied Probability

Volumn 23, Issue 1, 2013, Pages 348-385

  Giesecke, Kay ^a   Spiliopoulos, Konstantinos ^b   Sowers, Richard B ^c  

^a Stanford University ^*  (United States)

^b BROWN UNIVERSITY   (United States)

^c UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

Contagion; Interacting point processes; Law of large numbers; Portfolio credit risk

Indexed keywords

EID: 84878779114     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AAP845     Document Type: Article

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