1409 W. Green St.
Urbana, IL 61801
University of Illinois at Urbana-Champaign - Department of Mathematics
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central counterparty, large deviations theory, clearing, systemic risk, network analysis
rare events, synthetic collateralized debt obligations, large deviations
law of large numbers, loss distribution, interacting point processes, portfolio credit risk
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law of large numbers, interacting point process, credit risk
bubbles, hard-to-borrow, put-call parity
Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers
correlation, structured finance, large deviations
synthetic CDO's, large deviations, investment-grade tranches
large deviations, synthetic CDO's
Recovery rates, large deviations
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