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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Large Portfolio Asymptotics
for Loss From Default |
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Speaker |
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Prof. Kay Giesecke |
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Dept. of Management Science and Engineering |
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Date |
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Jan. 17th, 2012 (Tuesday) |
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Time |
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4:00 p.m. - 5:00 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
We prove a law of large numbers for the loss from default
and use it for approximating the distribution of the loss from default in
large, potentially heterogenous portfolios. The
density of the limiting measure is shown to solve a non-linear SPDE, and the
moments of the limiting measure are shown to satisfy an infinite system of SDEs. The solution to this system leads to the
distribution of the limiting portfolio loss, which we propose as an
approximation to the loss distribution for a large portfolio. Numerical tests
illustrate the accuracy of the approximation, and highlight its computational
advantages over a direct |
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Biography:
Kay Giesecke is
an Assistant Professor of Management Science & Engineering at |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. |
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(852) 3943-8237 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
Website |
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