2.3k citations · 2.7k across the 51 of their papers we have counts for
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Network effects in default clustering for large systems
Konstantinos Spiliopoulos, Jia Yang
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prov…
The effect of heterogeneity on flocking behavior and systemic risk
Fei Fang, Yiwei Sun, Konstantinos Spiliopoulos
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the e…
Systemic Risk and Default Clustering for Large Financial Systems
Konstantinos Spiliopoulos
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk…
Large Portfolio Asymptotics for Loss From Default
Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers +1
We prove a law of large numbers for the loss from default and use it for approximating the distribution of the loss from default in large, potentially heterogenous portfolios. The…
Default clustering in large portfolios: Typical events
Kay Giesecke, Konstantinos Spiliopoulos, Richard B. Sowers
We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In o…
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Konstantinos Spiliopoulos, Richard B. Sowers
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we…