Large portfolio losses: A dynamic contagion model

Pra, Paolo Dai, Runggaldier, Wolfgang J., Sartori, Elena, Tolotti, Marco . The Annals of Applied Probability 2009. 19 (1) :347-394

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Bibtex

@article{CIS-233788,
  Author = {Pra, Paolo Dai and Runggaldier, Wolfgang J. and Sartori, Elena and Tolotti, Marco},
  Title = {Large portfolio losses: A dynamic contagion model},
  Journal = {The Annals of Applied Probability},
  Volume = {19},
  Number = {1},
  Year = {2009},
  Pages = {347--394},
  Keywords = {Large deviations, Phase transition, interacting particle systems, credit contagion, credit crisis, mean field interaction, nonreversible Markov processes}
}

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