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Sample-Path Large Deviations in Credit Risk
Joint Authors
Mandjes, M. R. H.
Leijdekker, V. J. G.
Spreij, P. J. C.
Source
Journal of Applied Mathematics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-28, 28 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-11-22
Country of Publication
Egypt
No. of Pages
28
Main Subjects
Abstract EN
The event of large losses plays an important role in credit risk.
As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail asymptotics of the probabilities involved.
We first derive a sample-path large deviation principle (LDP) for the portfolio's loss process, which enables the computation of the logarithmic decay rate of the probabilities of interest.
In addition, we derive exact asymptotic results for a number of specific rare-event probabilities, such as the probability of the loss process exceeding some given function.
American Psychological Association (APA)
Leijdekker, V. J. G.& Mandjes, M. R. H.& Spreij, P. J. C.. 2011. Sample-Path Large Deviations in Credit Risk. Journal of Applied Mathematics،Vol. 2011, no. 2011, pp.1-28.
https://search.emarefa.net/detail/BIM-465283
Modern Language Association (MLA)
Leijdekker, V. J. G.…[et al.]. Sample-Path Large Deviations in Credit Risk. Journal of Applied Mathematics No. 2011 (2011), pp.1-28.
https://search.emarefa.net/detail/BIM-465283
American Medical Association (AMA)
Leijdekker, V. J. G.& Mandjes, M. R. H.& Spreij, P. J. C.. Sample-Path Large Deviations in Credit Risk. Journal of Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-28.
https://search.emarefa.net/detail/BIM-465283
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-465283