sample-path large deviations in credit risk样本路径偏差大的信贷风险.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics Volume 2011, Article ID 354171, 28 pages doi:10.1155/2011/354171 Research Article Sample-Path Large Deviations in Credit Risk V. J. G. Leijdekker,1, 2 M. R. H. Mandjes,1, 3, 4 and P. J. C. Spreij1 1 Korteweg-de Vries Institute for Mathematics, University of Amsterdam, P.O. Box 94248, 1090 GE Amsterdam, The Netherlands 2 ABN AMRO, HQ2057, Gustav Mahlerlaan 10, 1082 PP Amsterdam, The Netherlands 3 EURANDOM, P.O. Box 513, 5600 MB Eindhoven, The Netherland