Default clustering in large portfolios: Typical events

Kay Giesecke, Konstantinos Spiliopoulos and Richard B. Sowers

Papers from arXiv.org

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.

New Economics Papers: this item is included in nep-rmg
Date: 2011-04, Revised 2013-02
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed

Published in Annals of Applied Probability 2013, Vol. 23, No. 1, 348-385

Downloads: (external link)
http://arxiv.org/pdf/1104.1773 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1104.1773

Access Statistics for this paper

More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().