Fluctuation analysis for the loss from default

OMI Seminar Series

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy of the approximation.

This is joint work with Kostas Spiliopoulos (Boston University) and Justin Sirignano (Stanford).

Location:
Speaker(s):

Kay Giesecke (Stanford)

Date:
Tuesday, November 20, 2012 - 14:15
to 15:15