منابع مشابه
Large Portfolio Losses : a Dynamic Contagion Model
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality ind...
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Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality ind...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2011
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1316792671