Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk

Fuente: arXiv

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Bibliographic Details
Main Authors:	Deng, Fengnan, Vidyashankar, Anand N., Collamore, Jeffrey F.
Format:	Preprint
Published:	2025
Subjects:	Probability Statistics Theory Mathematical Finance Portfolio Management Risk Management 60F10, 60G70, 62P05, 91G70
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2509.19151