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

Chapter 4 in Credit Correlation:Life After Copulas, 2007, pp 61-86 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractA 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: Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations (search for similar items in EconPapers)
Date: 2007
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