LARGE PORTFOLIO CREDIT RISK MODELING

Mark H. A. Davis () and Juan Carlos Esparragoza-Rodriguez ()
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Mark H. A. Davis: Department of Mathematics, Imperial College London, London SW7 2AZ, United Kingdom
Juan Carlos Esparragoza-Rodriguez: Milliman Inc. 103 Bunhill Row London EC1Y 8LZ, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 04, 653-678

Abstract: A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.

Keywords: Stochastic network; functional law of large numbers; functional central limit theorem; quadratures (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024907004378

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