Recovery rates in investment-grade pools of credit assets: A large deviations analysis |
| |
| Authors: | Konstantinos Spiliopoulos Richard B Sowers |
| |
| Institution: | aDivision of Applied Mathematics, Brown University, Providence, RI 02912, United States;bDepartment of Mathematics, University of Illinois at Urbana–Champaign, Urbana, IL 61801, United States |
| |
| Abstract: | We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure of losses in a pool consisting of a continuum of types. We derive the corresponding rate function and show that it has a natural interpretation as the favored way to rearrange recoveries and losses among the different types. Numerical examples are also provided. |
| |
| Keywords: | MSC: 60F05 60F10 91G40 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
