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- W4298006502 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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- W4298006502 date "2013-04-04" @default.
- W4298006502 modified "2023-09-27" @default.
- W4298006502 title "Fluctuation Analysis for the Loss From Default" @default.
- W4298006502 doi "https://doi.org/10.48550/arxiv.1304.1420" @default.
- W4298006502 hasPublicationYear "2013" @default.
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