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Large Portfolio Credit Risk Modeling

In: Credit Correlation Life After Copulas

Author

Listed:
  • 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)

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.

Suggested Citation

  • Mark H. A. Davis & Juan Carlos Esparragoza-Rodriguez, 2007. "Large Portfolio Credit Risk Modeling," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 4, pages 61-86, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812709509_0004
    as

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