{
  "id": "1304.1420",
  "version": "v4",
  "published": "2013-04-04T16:27:25.000Z",
  "updated": "2015-02-18T21:33:25.000Z",
  "title": "Fluctuation Analysis for the Loss From Default",
  "authors": [
    "Konstantinos Spiliopoulos",
    "Justin A. Sirignano",
    "Kay Giesecke"
  ],
  "journal": "Stochastic Processes and their Applications, Volume 124, Issue 7, 2014, pp. 2322-2362",
  "categories": [
    "math.PR",
    "q-fin.PM",
    "q-fin.RM"
  ],
  "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.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2013-10-25T16:07:37.000Z",
      "comment": null,
      "journal": null,
      "doi": null
    },
    {
      "version": "v4",
      "updated": "2015-02-18T21:33:25.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60F05",
      "60F17",
      "60G55"
    ],
    "keywords": [
      "fluctuation analysis",
      "large portfolio limit",
      "weak convergence result",
      "reduced-form models",
      "correlated firm-by-firm default"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1304.1420S"
    }
  }
}