Stochastic Evolution Equations in Portfolio Credit Modelling
نویسندگان
چکیده
منابع مشابه
Stochastic Evolution Equations in Portfolio Credit Modelling
We consider a structural credit model for a large portfolio of credit risky assets. By considering the large portfolio limit we introduce a stochastic partial differential equation which describes the evolution of the density of asset values. The loss function of the portfolio is then a function of the evolution of this density at the default boundary. We develop numerical methods for pricing a...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/100796777