Large portfolio losses: A dynamic contagion model

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dc.creatorPra, Paolo Dai
dc.creatorRunggaldier, Wolfgang J.
dc.creatorSartori, Elena
dc.creatorTolotti, Marco
dc.date2007-04-11
dc.date2009-03-04
dc.date.accessioned2026-07-07T12:48:16Z
dc.date.available2026-07-07T12:48:16Z
dc.descriptionUsing particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the "Central Limit Theorem" useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.
dc.descriptionPublished in at http://dx.doi.org/10.1214/08-AAP544 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0704.1348
dc.identifierhttp://arxiv.org/abs/0704.1348
dc.identifierAnnals of Applied Probability 2009, Vol. 19, No. 1, 347-394
dc.identifierdoi:10.1214/08-AAP544
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/222000
dc.subjectRisk Management
dc.subjectProbability
dc.subject60K35, 91B70 (Primary)
dc.titleLarge portfolio losses: A dynamic contagion model
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