2.3k citations · 2.7k across the 51 of their papers we have counts for
3 papers · 1 filter
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…
Importance Sampling for Multiscale Diffusions
Paul Dupuis, Konstantinos Spiliopoulos, Hui Wang
We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for t…
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…