Abstract
In this chapter, we relax the homogeneous portfolio assumption, and we derive an asymptotic series expansion of the \(k{\text {th}}\)-to-default Q-factor in the non-homogeneous case. We also show how to compute the conditional aggregate default distributions that appear in the expansion using the convolution recursion algorithm.
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Elouerkhaoui, Y. (2017). The Asymptotic Expansion. In: Credit Correlation. Applied Quantitative Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-60973-7_12
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DOI: https://doi.org/10.1007/978-3-319-60973-7_12
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