Interacting Path Systems for Credit Portfolios Risk Analysis
by Pierre del Moral of INRIA Bordeaux, and
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  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...