Stochastic PDEs for large portfolios with general mean-reverting volatility processes
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by the asset value reaching a lower boundary. We prove that if...
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
American Institute of Mathematical Sciences
2024
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