摘要翻译：
我们考虑回收率对信贷资产池的影响。我们允许回收率以一般的方式依赖于默认值。利用大偏差理论，我们研究了由一系列类型组成的损失池中的损失结构。我们导出了相应的比率函数，并表明它作为在不同类型之间重新安排回收和损失的首选方法具有自然的解释。文中还给出了数值算例。
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英文标题：
《Recovery Rates in investment-grade pools of credit assets: A large
  deviations analysis》
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作者：
Konstantinos Spiliopoulos and Richard B. Sowers
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最新提交年份：
2011
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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：
  We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure of losses in a pool consisting of a continuum of types. We derive the corresponding rate function and show that it has a natural interpretation as the favored way to rearrange recoveries and losses among the different types. Numerical examples are also provided.
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PDF链接：
https://arxiv.org/pdf/1006.2711