Use this URL to cite or link to this record in EThOS:
Title: Large portfolio credit risk modelling
Author: Esparragoza Rodriguez, Juan Carlos
ISNI:       0000 0001 3449 3358
Awarding Body: Imperial College of Science, Technology and Medicine, London
Current Institution: Imperial College London
Date of Award: 2008
Availability of Full Text:
Full text unavailable from EThOS.
Please contact the current institution’s library for further details.
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: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available