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- W1969827248 abstract "We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation." @default.
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- W1969827248 date "2013-01-01" @default.
- W1969827248 modified "2023-09-23" @default.
- W1969827248 title "Fluctuation Analysis for the Loss from Default" @default.
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- W1969827248 doi "https://doi.org/10.2139/ssrn.2226994" @default.
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