DEFAULT CLUSTERING IN LARGE PORTFOLIOS: TYPICAL EVENTS

• 成果类型: Article
• 署名作者: Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, Richard B.
• 署名单位: Stanford University; Brown University; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP845
• 发表日期: 2013
• 页码: 348-385
• 关键词: credit; contagion

摘要

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 our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk process common to all firms, and past defaults. We prove a law of large numbers for the default rate in the pool, which describes the typical behavior of defaults.