Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274
Title: Large portfolio credit risk modelling
Author: Esparragoza Rodriguez, Juan Carlos
Awarding Body: Imperial College of Science, Technology and Medicine, London
Current Institution: Imperial College London
Date of Award: 2008
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Abstract:
A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.
Supervisor: Not available Sponsor: Not available
Qualification Name: Imperial College of Science, Technology and Medicine, London, Mathematics Department, 2008 Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.486274  DOI: Not available
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