 |
|
|
|
| HAL: inria-00454005, version 1 |
| See detailed view |  BibTeX,EndNote,... |
|
|
|
|
| Interacting path systems for credit portfolios risk analysis |
|
|
| Pierre Del Moral 1Frédéric Patras 2 |
|
|
| (2010-02-10) |
|
|
|
| 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. |
|
|
|
|
|
|
|
|
|
|
|
| 1: | ALEA (INRIA Bordeaux - Sud-Ouest) |
|
|
|
INRIA – Université de Bordeaux – CNRS : UMR5251 |
|
|
| 2: | Laboratoire Jean Alexandre Dieudonné (JAD) |
|
|
|
CNRS : UMR6621 – Université de Nice Sophia Antipolis (UNS) |
|
|
|
|
|
|
|
|
|
| Domain | : | Mathematics/Probability |
|
|
| Credit portfolios risk analysis – rare event simulation – interacting particle systems – stochastic particle methods – genetic algorithms. |
|
|
|
| Attached file list to this document: | |||||
|
|||||
|
|
|
| inria-00454005, version 1 | |
| http://hal.inria.fr/inria-00454005 | |
| oai:hal.inria.fr:inria-00454005 | |
| From: Pierre Del Moral | |
| Submitted on: Sunday, 7 February 2010 08:22:30 | |
| Updated on: Sunday, 7 February 2010 15:21:40 | |
