the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Interacting Path Systems for Credit Portfolios Risk Analysis

by Pierre del Moral of INRIA Bordeaux, and
Frédéric Patras of the Université de Nice

February 7, 2010

Abstract: This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique [5] 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, Interacting path systems for credit risk, is submitted for publication in 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: Interacting path systems, Monte Carlo methods, multiname credit portfolios.

This paper is Published as Ch. 21 in...

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Books Referenced in this paper:  (what is this?)

Download paper (273K PDF) 9 pages