Default Clustering in Large Pools: Large Deviations
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References listed on IDEAS
- Paul Glasserman & Jingyi Li, 2005. "Importance Sampling for Portfolio Credit Risk," Management Science, INFORMS, vol. 51(11), pages 1643-1656, November.
- Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers, 2011. "Default clustering in large portfolios: Typical events," Papers 1104.1773, arXiv.org, revised Feb 2013.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ben Hambly & Andreas Sojmark, 2018. "An SPDE Model for Systemic Risk with Endogenous Contagion," Papers 1801.10088, arXiv.org, revised Feb 2018.
- Josselin Garnier & George Papanicolaou & Tzu-Wei Yang, 2015. "A risk analysis for a system stabilized by a central agent," Papers 1507.08333, arXiv.org, revised Aug 2015.
- Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos, 2016. "The effect of heterogeneity on flocking behavior and systemic risk," Papers 1607.08287, arXiv.org, revised Jun 2017.
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