the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Default Clustering in Large Portfolios: Typical events

by Kay Giesecke of Stanford University,
Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign

March 4, 2012

Abstract: 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.

AMS Classification: 91G40, 60F05, 60F10.

Keywords: credit derivatives, collateralized debt obligation, credit swap.

Previously titled: Default Clustering in Large Portfolios: Typical and atypical events

Books Referenced in this paper:  (what is this?)

Download paper (385K PDF) 33 pages

Most Cited Books within Correlation/Dependence Papers