Seminar series
Date
Tue, 20 Nov 2012
Time
14:15 -
15:15
Location
Eagle House
Speaker
Kay Giesecke
Organisation
Standford University
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy of the approximation.
This is joint work with Kostas Spiliopoulos (Boston University) and Justin Sirignano (Stanford).