53 citations · 68 across the 11 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…
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…