Workshop: Concluding Workshop
Time: Thu, December 04, 2008, 16:00-16:30
Speaker: Verena Goldammer
Abstract
Simultaneous defaults in large portfolios of credit derivatives can induce huge losses. To take this into account, we apply an interacting particle system to model the credit rating transitions of firms. In our model the credit rating changes of the firms follow a homogeneous Markov jump process with the generator of the strongly coupled random walk process introduced by Spitzer (1981).
The model depends on two sets of parameters, the vector of dependence parameters and the generator of the rating transitions of a single firm. For these parameters the maximum likelihood estimators are provided using historical rating transitions and sojourn times. Simulation of the process shows, how the shape of the profit and loss distribution of a large portfolio of defaultable zero-coupon bonds is influenced by the dependence vector.
Presentation slides (pdf, 232 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 04/19/24 - 03:48 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST