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hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierLaboratoire Jean Alexandre Dieudonné [JAD]
dc.contributor.authorPATRAS, Frédéric
dc.date.created2010
dc.date.issued2010-02-10
dc.description.abstractEnThis 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.
dc.language.isoen
dc.subject.engenetic algorithms
dc.subject.enCredit portfolios risk analysis
dc.subject.enrare event simulation
dc.subject.eninteracting particle systems
dc.subject.enstochastic particle methods
dc.subject.engenetic algorithms.
dc.title.enInteracting path systems for credit portfolios risk analysis
dc.typeRapport
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.page9
bordeaux.type.institutionINRIA
bordeaux.type.reportrr
hal.identifierinria-00454005
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//inria-00454005v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2010-02-10&rft.spage=9&rft.epage=9&rft.au=DEL%20MORAL,%20Pierre&PATRAS,%20Fr%C3%A9d%C3%A9ric&rft.genre=unknown


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