IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1109.1272.html
   My bibliography  Save this item

Large Portfolio Asymptotics for Loss From Default

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Zachary Feinstein & Andreas Sojmark, 2019. "A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field," Papers 1912.08695, arXiv.org.
  2. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
  3. Erhan Bayraktar & Gaoyue Guo & Wenpin Tang & Yuming Paul Zhang, 2022. "Systemic robustness: a mean-field particle system approach," Papers 2212.08518, arXiv.org, revised Aug 2023.
  4. 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.
  5. Konstantinos Spiliopoulos & Jia Yang, 2018. "Network effects in default clustering for large systems," Papers 1812.07645, arXiv.org, revised Feb 2020.
  6. Gao, Fuqing & Zhu, Lingjiong, 2018. "Some asymptotic results for nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4051-4077.
  7. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
  8. Justin Sirignano & Kay Giesecke, 2019. "Risk Analysis for Large Pools of Loans," Management Science, INFORMS, vol. 65(1), pages 107-121, January.
  9. Sergey Nadtochiy & Mykhaylo Shkolnikov, 2017. "Particle systems with singular interaction through hitting times: application in systemic risk modeling," Papers 1705.00691, arXiv.org.
  10. Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
  11. Chong, Carsten & Klüppelberg, Claudia, 2019. "Partial mean field limits in heterogeneous networks," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4998-5036.
  12. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
  13. Ben Hambly & Nikolaos Kolliopoulos, 2019. "Stochastic PDEs for large portfolios with general mean-reverting volatility processes," Papers 1906.05898, arXiv.org, revised Mar 2024.
  14. Josselin Garnier & George Papanicolaou & Tzu-Wei Yang, 2015. "A risk analysis for a system stabilized by a central agent," Papers 1507.08333, arXiv.org, revised Aug 2015.
  15. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
  16. Sirignano, Justin & Spiliopoulos, Konstantinos, 2020. "Mean field analysis of neural networks: A central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1820-1852.
  17. Shaoying Chen & Yang Yang & Zhimin Zhang, 2024. "Asymptotics for credit portfolio losses due to defaults in a multi-sector model," Annals of Operations Research, Springer, vol. 337(1), pages 23-44, June.
  18. Agostino Capponi & Xu Sun & David D. Yao, 2020. "A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 1127-1152, August.
  19. Xiaowei Zhang & Jose Blanchet & Kay Giesecke & Peter W. Glynn, 2015. "Affine Point Processes: Approximation and Efficient Simulation," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 797-819, October.
  20. Burzoni, Matteo & Campi, Luciano, 2023. "Mean field games with absorption and common noise with a model of bank run," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 206-241.
  21. Ben Hambly & Andreas Søjmark, 2019. "An SPDE model for systemic risk with endogenous contagion," Finance and Stochastics, Springer, vol. 23(3), pages 535-594, July.
  22. Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
  23. Egami, M. & Kevkhishvili, R., 2017. "An analysis of simultaneous company defaults using a shot noise process," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 135-161.
  24. Karolina Bujok & Ben Hambly & Christoph Reisinger, 2012. "Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives," Papers 1211.0707, arXiv.org, revised Feb 2018.
  25. Ben Hambly & Andreas Sojmark, 2018. "An SPDE Model for Systemic Risk with Endogenous Contagion," Papers 1801.10088, arXiv.org, revised Sep 2018.
  26. Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.