Fluctuation analysis for the loss from default

Stochastic Processes and their Applications

Volumn 124, Issue 7, 2014, Pages 2322-2362

  Spiliopoulos, Konstantinos ^a   Sirignano, Justin A ^b   Giesecke, Kay ^b  

^a Boston University   (United States)

^b Stanford University   (United States)

Author keywords

Central limit theorem; Interacting particle system; Portfolio credit risk

Indexed keywords

COMPUTER SIMULATION; STATISTICS; STOCHASTIC SYSTEMS;

CENTRAL LIMIT THEOREM; CONDITIONALLY GAUSSIAN; FLUCTUATION ANALYSIS; INTERACTING PARTICLE SYSTEM; LOSS DISTRIBUTION; NUMERICAL RESULTS; PORTFOLIO CREDIT RISK; WEAK CONVERGENCE;

INDUSTRY;

EID: 84896968934     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2014.02.010     Document Type: Article

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