摘要翻译：
运用粒子系统方法，研究了面临信用风险的企业网络中财务困境的传播。我们研究了信贷危机的现象，并量化了银行在一个大的信贷组合中可能遭受的损失。应用大偏差原理，我们计算了系统的极限分布，确定了企业信用质量指标的时间演化，进而导出了全球金融健康指标的动力学。最后，我们描述了一个适用于研究大投资组合损失的“中心极限定理”。给出了仿真结果以及在证券组合损失分布分析中的应用。
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英文标题：
《Large portfolio losses: A dynamic contagion model》
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作者：
Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori, Marco Tolotti
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the "Central Limit Theorem" useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.
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PDF链接：
https://arxiv.org/pdf/0704.1348