Interacting path systems for credit portfolios risk analysis
Language
en
Rapport
This item was published in
2010-02-10p. 9
English Abstract
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 ...Read more >
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.Read less <
English Keywords
genetic algorithms
Credit portfolios risk analysis
rare event simulation
interacting particle systems
stochastic particle methods
genetic algorithms.
Origin
Hal imported