Sample-Path Large Deviations in Credit Risk. (22nd November 2011)
- Record Type:
- Journal Article
- Title:
- Sample-Path Large Deviations in Credit Risk. (22nd November 2011)
- Main Title:
- Sample-Path Large Deviations in Credit Risk
- Authors:
- Leijdekker, V. J. G.
Mandjes, M. R. H.
Spreij, P. J. C. - Other Names:
- Hu Ying U. Academic Editor.
- Abstract:
- Abstract : The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail asymptotics of the probabilities involved. We first derive a sample-path large deviation principle (LDP) for the portfolio's loss process, which enables the computation of the logarithmic decay rate of the probabilities of interest. In addition, we derive exact asymptotic results for a number of specific rare-event probabilities, such as the probability of the loss process exceeding some given function.
- Is Part Of:
- Journal of applied mathematics. Volume 2011(2011)
- Journal:
- Journal of applied mathematics
- Issue:
- Volume 2011(2011)
- Issue Display:
- Volume 2011, Issue 2011 (2011)
- Year:
- 2011
- Volume:
- 2011
- Issue:
- 2011
- Issue Sort Value:
- 2011-2011-2011-0000
- Page Start:
- Page End:
- Publication Date:
- 2011-11-22
- Subjects:
- Mathematics -- Periodicals
519.05 - Journal URLs:
- https://www.hindawi.com/journals/jam/ ↗
- DOI:
- 10.1155/2011/354171 ↗
- Languages:
- English
- ISSNs:
- 1110-757X
- Deposit Type:
- Legaldeposit
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- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 10694.xml