Heterogeneous credit portfolios and the dynamics of the aggregate losses

[1]  Dynamic hedging of synthetic CDO tranches with spread risk and default contagion , 2010 .

[2]  Kay Giesecke,et al.  A Top-Down Approach to Multi-Name Credit , 2009 .

[3]  Rüdiger Frey,et al.  PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES , 2008 .

[4]  W. Runggaldier,et al.  Large portfolio losses: A dynamic contagion model , 2007, 0704.1348.

[5]  H. Pham Some Applications and Methods of Large Deviations in Finance and Insurance , 2007, math/0702473.

[6]  Christine M. Anderson-Cook,et al.  Book review: quantitative risk management: concepts, techniques and tools, revised edition, by A.F. McNeil, R. Frey and P. Embrechts. Princeton University Press, 2015, ISBN 978-0-691-16627-8, xix + 700 pp. , 2017, Extremes.

[7]  P. Embrechts,et al.  Quantitative Risk Management: Concepts, Techniques, and Tools , 2005 .

[8]  S. Ethier,et al.  Markov Processes: Characterization and Convergence , 2005 .

[9]  Amir Dembo,et al.  Large portfolio losses , 2002, Finance Stochastics.

[10]  Cornell University,et al.  Cyclical correlations , credit contagion , and portfolio losses , 2003 .

[11]  A. McNeil,et al.  VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights , 2002 .

[12]  Song Liang,et al.  Laplace approximations for sums of independent random vectors , 2000 .

[13]  M. Crouhy,et al.  A comparative analysis of current credit risk models , 2000 .

[14]  F. Hollander,et al.  McKean-Vlasov limit for interacting random processes in random media , 1996 .

[15]  G. B. Arous,et al.  Methode de laplace: etude variationnelle des fluctuations de diffusions de type , 1990 .

[16]  Francis Comets,et al.  Asymptotic dynamics, non-critical and critical fluctuations for a geometric long-range interacting model , 1988 .

[17]  H. Brezis Analyse fonctionnelle : théorie et applications , 1983 .