کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155791 | 958768 | 2011 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Recovery rates in investment-grade pools of credit assets: A large deviations analysis
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure of losses in a pool consisting of a continuum of types. We derive the corresponding rate function and show that it has a natural interpretation as the favored way to rearrange recoveries and losses among the different types. Numerical examples are also provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 12, December 2011, Pages 2861–2898
Journal: Stochastic Processes and their Applications - Volume 121, Issue 12, December 2011, Pages 2861–2898
نویسندگان
Konstantinos Spiliopoulos, Richard B. Sowers,