These are all the papers that have the " 60F10 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Default Clustering in Large Portfolios: Typical events
by Kay Giesecke of the Stanford University,
Kostas Spiliopoulos of the Brown University, and
Richard Sowers of the University of Illinois at Urbana-Champaign
(385K PDF) -- 33 pages -- March 4, 2012 Large Portfolio Asymptotics for Loss from Default
by Kay Giesecke of Stanford University,
Konstantinos Spiliopoulos of Brown University,
Richard B. Sowers of University of Illinois at Urbana-Champaign, and
Justin Sirignano of Stanford University
(1267K PDF) -- 26 pages -- September 7, 2011 Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign
(393K PDF) -- 30 pages -- August 11, 2011 Sample-path Large Deviations in Credit Risk
by Vincent Leijdekker of the University of Amsterdam & ABN AMRO,
Michel Mandjes of the University of Amsterdam, and
Peter Spreij of the University of Amsterdam
(286K PDF) -- 22 pages -- September 30, 2009 Large Portfolio Losses
by Amir Dembo of Stanford University,
Jean-Dominique Deuschel Technische Universität Berlin, and
Darrell Duffie of Stanford University
(205K PDF) -- 14 pages -- January 2004
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