English, Article edition: LARGE PORTFOLIO CREDIT RISK MODELING MARK H. A. DAVIS; JUAN CARLOS ESPARRAGOZA-RODRIGUEZ

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83218
Physical Description
  • article
Language
  • English

Edition details

Title
  • LARGE PORTFOLIO CREDIT RISK MODELING
Author
  • MARK H. A. DAVIS
  • JUAN CARLOS ESPARRAGOZA-RODRIGUEZ
Physical Description
  • article
Notes
  • A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.
  • Stochastic network, functional law of large numbers, functional central limit theorem, quadratures
  • RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:653-678
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment