Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
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References listed on IDEAS
- Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
- Richard B. Sowers, 2009. "Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool," Papers 0903.4475, arXiv.org.
- Das, Sanjiv R. & Hanouna, Paul, 2009. "Implied recovery," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1837-1857, November.
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Cited by:
- Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
- Ben Hambly & Nikolaos Kolliopoulos, 2020. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Finance and Stochastics, Springer, vol. 24(3), pages 757-794, July.
- Ben Hambly & Nikolaos Kolliopoulos, 2019. "Stochastic PDEs for large portfolios with general mean-reverting volatility processes," Papers 1906.05898, arXiv.org, revised Mar 2024.
- Justin Sirignano & Kay Giesecke, 2019. "Risk Analysis for Large Pools of Loans," Management Science, INFORMS, vol. 65(1), pages 107-121, January.
- Konstantinos Spiliopoulos & Richard B. Sowers, 2013. "Default Clustering in Large Pools: Large Deviations," Papers 1311.0498, arXiv.org, revised Feb 2015.
- Amogh Deshpande, 2014. "Comparing the Value at Risk Performance of the CreditRisk + and its Enhancement: A Large Deviations Approach," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 1009-1023, December.
- Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
- Hamed Amini & Andreea Minca, 2016. "Inhomogeneous Financial Networks and Contagious Links," Operations Research, INFORMS, vol. 64(5), pages 1109-1120, October.
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This paper has been announced in the following NEP Reports:- NEP-BAN-2010-06-26 (Banking)
- NEP-RMG-2010-06-26 (Risk Management)
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