Konstantinos Spiliopoulos, Justin A. Sirignano, Kay Giesecke
Published 2013-04-04, updated 2015-02-18Version 4
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.
Journal: Stochastic Processes and their Applications, Volume 124, Issue 7, 2014, pp. 2322-2362
Weak Convergence of Sequential Empirical Processes under Weak Dependence
Fluctuation analysis and short time asymptotics for multiple scales diffusion processes
Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise
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