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).


Kay Giesecke (Stanford)

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