Large portfolio asymptotics for loss from default
Kay Giesecke; Konstantinos Spiliopoulos; Richard B. Sowers; Justin A. Sirignano
| Year of publication: |
2015
|
|---|---|
| Authors: | Giesecke, Kay ; Spiliopoulos, Konstantinos ; Sowers, R. B. ; Sirignano, Justin A. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 1, p. 77-114
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| Subject: | law of large numbers | interacting point process | credit risk | Kreditrisiko | Credit risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011347245