A Mathematical Model for Multi-Name Credit Based on Community


Kiseop Lee (University of Louisville)
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大阪大学 金融・保険セミナーシリーズ 第34回(CSFI-CRESTジョイントセミナー)
A Mathematical Model for Multi-Name Credit Based on Community

Kiseop Lee (University of Louisville)

We present a new mathematical model for multi-name credit which employs stochastic flocking. Flocking mechanisms have been used in a variety of models of biological, sociological and physical aggregation phenomena. As a direct application of a flocking mechanism, we introduce a credit risk model based on community flocking for a credit worthiness index(CWI).
Correlations between different credit worthiness indices are explained in terms of an interaction rate from the flocking system. Based on the flocking model for CWI, we provide a credit curve for individual names and a default time distribution. We study how to price credit derivatives such as a credit default swap(CDS) and a collateralized debt obligation(CDO) with the proposed model.

講 師:
Kiseop Lee (University of Louisville)
テーマ:
A Mathematical Model for Multi-Name Credit Based on Community
日 時:
2010年05月11日(火)16:20-17:50
場 所:
大阪大学大学院基礎工学研究科 (豊中キャンパス)I 棟 204号室
参加費:
無料
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