LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
By Paul Glasserman, Wanmo Kang, Perwez Shahabuddin. 2007
77 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/223611d38d2afbae28fdf37a1b2eebf5b74dd75a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Konstantinos Spiliopoulos
- Huyen Pham
- Richard B. Sowers
- Kay Giesecke
- Thaleia Zariphopoulou
- Yasushi Ishikawa
- Peter A. Forsyth
- Marek Musiela
In Finance
- Konstantinos Spiliopoulos
- Richard B. Sowers
- Huyen Pham
- Kay Giesecke
- Justin A. Sirignano
- Andrew J. Patton
- Thaleia Zariphopoulou
- P. J. Graber
Citations in the corpus
- Default clustering in large portfolios: Typical events. (2011, methodology): “MR2224986 [14] Glasserman, P., Kang, W. and Shahabuddin, P. (2007).”
- Some Applications and Methods of Large Deviations in Finance and Insurance (2007, methodology): “2 We also prove by similar methods large deviation results for the loss distribution in the limiting regime where individual loss probabilities decrease toward zero, see [26] for the details.”