2007 ◽  
Vol 10 (04) ◽  
pp. 653-678 ◽  
Author(s):  
MARK H. A. DAVIS ◽  
JUAN CARLOS ESPARRAGOZA-RODRIGUEZ

A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.


2013 ◽  
pp. 151-167
Author(s):  
Lorenzo Bocchi ◽  
Tiziano Bellini

2007 ◽  
pp. 61-86
Author(s):  
MARK H. A. DAVIS ◽  
JUAN CARLOS ESPARRAGOZA-RODRIGUEZ

2015 ◽  
Author(s):  
Manuel L. Esquível ◽  
Gracinda R. Guerreiro ◽  
José M. Fernandes ◽  
Ana F. Silva

2012 ◽  
Author(s):  
Takanori Adachi ◽  
ryozo miura ◽  
Hidetoshi Nakagawa

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