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Default clustering in large portfolios: Typical events

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.
Year of publication:
2011-04
Authors: Giesecke, Kay ; Spiliopoulos, Konstantinos ; Sowers, Richard B.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Annals of Applied Probability 2013, Vol. 23, No. 1, 348-385
Source:
Persistent link: https://www.econbiz.de/10008924727
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