LARGE PORTFOLIO LOSSES: A DYNAMIC CONTAGION MODEL

• 成果类型: Article
• 署名作者: Pra, Paolo Dai; Runggaldier, Wolfgang J.; Sartori, Elena; Tolotti, Marco
• 署名单位: University of Padua; Bocconi University; Scuola Normale Superiore di Pisa; Universita Ca Foscari Venezia
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/08-AAP544
• 发表日期: 2009
• 页码: 347-394
• 关键词: credit risk

摘要

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk, We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the Central Limit Theorem useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.