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most citedDGM: A deep learning algorithm for solving partial differential equations

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q-fin.RM2011

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…