Interacting path systems for credit portfolios risk analysis

Pierre del Moral (1) , Frédéric Patras (2)

1 ALEA - Advanced Learning Evolutionary Algorithms
2 JAD - Laboratoire Jean Alexandre Dieudonné

This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in credit portfolios. A full development of this Note incorporating technical details and a survey of the use of Interacting Particle Systems in the field of credit risk, \it Interacting path systems for credit risk, is submitted for publication in \it Recent Advancements in the Theory and Practice of Credit Derivatives, Eds T. Bielecki, D. Brigo, F. Patras, Bloomberg Press (2011). The reader is referred to this article for further details.

Keywords: genetic algorithms; Credit portfolios risk analysis; rare event simulation; interacting particle systems; stochastic particle methods; genetic algorithms.

Domains: Probability [math.PR]

Pierre del Moral, Frédéric Patras. Interacting path systems for credit portfolios risk analysis. [Research Report] RR-7196, INRIA. 2010, pp.9. ⟨inria-00454005⟩