英文标题：
《Default Clustering in Large Pools: Large Deviations》
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作者：
Konstantinos Spiliopoulos, Richard B. Sowers
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最新提交年份：
2015
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英文摘要：
We study large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system interact through the empirical default rate and via systematic effects that are common to all components. We establish the large deviations principle for the empirical default rate for such an interacting particle system. The rate function is derived in an explicit form that is amenable to numerical computations and derivation of the most likely path to failure for the system itself. Numerical studies illustrate the theoretical findings. An understanding of the role of the preferred paths to large default rates and the most likely ways in which contagion and systematic risk combine to lead to large default rates would give useful insights into how to optimally safeguard against such events.
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中文摘要：
我们研究互联组件的动态大型异构组合中的大偏差和罕见的默认集群事件。违约以泊松事件的形式出现，系统中不同组成部分的违约强度通过经验违约率和所有组成部分共有的系统效应相互作用。我们建立了这种相互作用粒子系统经验违约率的大偏差原理。速率函数以显式形式导出，便于数值计算和系统本身最可能失效路径的推导。数值研究说明了理论发现。了解高违约率的首选途径的作用，以及传染和系统性风险结合起来导致高违约率的最可能方式，将有助于深入了解如何以最佳方式防范此类事件。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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