53 citations · 68 across the 11 of their papers we have counts for
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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…
q-fin.RM2011★ 53 cited
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…