Default Clustering in Large Portfolios: Typical Events

Details Default Clustering in Large Portfolios: Typical Events Default Clustering in Large Portfolios: Typical Events

2011-04-10

arxiv.org/abs/1104.1773v2

Economy

Quantitative Finance

Risk Management

Scientific paper

We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk process common to all firms, and past defaults. We prove a law of large numbers for the default rate in the pool, which describes the "typical" behavior of defaults.

Affiliated with

Also associated with

No associations

Rating

Default Clustering in Large Portfolios: Typical Events does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Default Clustering in Large Portfolios: Typical Events, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Default Clustering in Large Portfolios: Typical Events will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-316415