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
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Recovery rates in investment-grade pools of credit assets: A large deviations analysis
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
نویسندگان
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