- Abstract:
-
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the asset values. This density evolves according to a stochastic partial differential equation, and we establish existence and uniqueness for the solution taking values in a suitable function space. The loss function of the portfolio is then a function of the ev...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1137/100796777
-
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- Journal:
- SIAM JOURNAL ON FINANCIAL MATHEMATICS
- Volume:
- 2
- Issue:
- 1
- Pages:
- 627-664
- Publication date:
- 2011-01-01
- DOI:
- EISSN:
-
1945-497X
- ISSN:
-
1945-497X
- URN:
-
uuid:42bfea41-ce12-4e4c-82c0-e484a618f9a2
- Source identifiers:
-
404933
- Local pid:
- pubs:404933
- Language:
- English
- Keywords:
- Copyright date:
- 2011
Journal article
Stochastic Evolution Equations in Portfolio Credit Modelling
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