{"title":"Fluctuation Analysis for the Loss from Default","authors":"K. Spiliopoulos, Justin A. Sirignano, K. Giesecke","doi":"10.2139/ssrn.2226994","DOIUrl":null,"url":null,"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.","PeriodicalId":246078,"journal":{"name":"OPER: Computational Techniques (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"36","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"OPER: Computational Techniques (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2226994","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 36
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.
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