Large portfolio credit risk modelling

Large portfolio credit risk modelling

A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deter...

Full description

Bibliographic Details
Main Author: Esparragoza Rodriguez, Juan Carlos
Published: Imperial College London 2008
Subjects:
330.015195
Online Access:http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274
id ndltd-bl.uk-oai-ethos.bl.uk-486274
record_format oai_dc
spelling ndltd-bl.uk-oai-ethos.bl.uk-4862742017-12-24T16:36:23ZLarge portfolio credit risk modellingEsparragoza Rodriguez, Juan Carlos2008A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.330.015195Imperial College Londonhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274Electronic Thesis or Dissertation
collection NDLTD
sources NDLTD
topic 330.015195
spellingShingle 330.015195
Esparragoza Rodriguez, Juan Carlos
Large portfolio credit risk modelling
description A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.
author Esparragoza Rodriguez, Juan Carlos
author_facet Esparragoza Rodriguez, Juan Carlos
author_sort Esparragoza Rodriguez, Juan Carlos
title Large portfolio credit risk modelling
title_short Large portfolio credit risk modelling
title_full Large portfolio credit risk modelling
title_fullStr Large portfolio credit risk modelling
title_full_unstemmed Large portfolio credit risk modelling
title_sort large portfolio credit risk modelling
publisher Imperial College London
publishDate 2008
url http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274
work_keys_str_mv AT esparragozarodriguezjuancarlos largeportfoliocreditriskmodelling
_version_ 1718578637956972544

Similar Items