Credit risk - A structural model with jumps and correlations
(2007) In Physica A: Statistical Mechanics and its Applications 383(2). p.533-569- Abstract
- We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump-diffusion process for the risk factors, i.e. for the company assets. We also include correlations between the companies. We discuss that models of this type have much in common with other problems in statistical physics and in the theory of complex systems. We study a simplified version of our model analytically. Furthermore, we perform extensive numerical simulations for the full model. The observables are the loss distribution of the credit portfolio, its moments and other quantities derived thereof. We compile detailed information about the parameter dependence of these observables. In the course of... (More)
- We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump-diffusion process for the risk factors, i.e. for the company assets. We also include correlations between the companies. We discuss that models of this type have much in common with other problems in statistical physics and in the theory of complex systems. We study a simplified version of our model analytically. Furthermore, we perform extensive numerical simulations for the full model. The observables are the loss distribution of the credit portfolio, its moments and other quantities derived thereof. We compile detailed information about the parameter dependence of these observables. In the course of setting up and analyzing our model, we also give a review of credit risk modeling for a physics audience. (c) 2007 Elsevier B.V. All rights reserved. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/691366
- author
- Schäfer, Rudi LU ; Sjolin, Markus ; Sundin, Andreas ; Wolanski, Michal and Guhr, Thomas LU
- organization
- publishing date
- 2007
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- stochastic processes, credit risk, econophysics
- in
- Physica A: Statistical Mechanics and its Applications
- volume
- 383
- issue
- 2
- pages
- 533 - 569
- publisher
- Elsevier
- external identifiers
-
- wos:000248632800032
- scopus:34447101582
- ISSN
- 0378-4371
- DOI
- 10.1016/j.physa.2007.04.053
- language
- English
- LU publication?
- yes
- additional info
- The information about affiliations in this record was updated in December 2015. The record was previously connected to the following departments: Mathematical Physics (Faculty of Technology) (011040002)
- id
- d0c334dc-b85b-42df-b171-e1453789ff5b (old id 691366)
- date added to LUP
- 2016-04-01 15:33:10
- date last changed
- 2022-01-28 05:54:33
@article{d0c334dc-b85b-42df-b171-e1453789ff5b, abstract = {{We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump-diffusion process for the risk factors, i.e. for the company assets. We also include correlations between the companies. We discuss that models of this type have much in common with other problems in statistical physics and in the theory of complex systems. We study a simplified version of our model analytically. Furthermore, we perform extensive numerical simulations for the full model. The observables are the loss distribution of the credit portfolio, its moments and other quantities derived thereof. We compile detailed information about the parameter dependence of these observables. In the course of setting up and analyzing our model, we also give a review of credit risk modeling for a physics audience. (c) 2007 Elsevier B.V. All rights reserved.}}, author = {{Schäfer, Rudi and Sjolin, Markus and Sundin, Andreas and Wolanski, Michal and Guhr, Thomas}}, issn = {{0378-4371}}, keywords = {{stochastic processes; credit risk; econophysics}}, language = {{eng}}, number = {{2}}, pages = {{533--569}}, publisher = {{Elsevier}}, series = {{Physica A: Statistical Mechanics and its Applications}}, title = {{Credit risk - A structural model with jumps and correlations}}, url = {{http://dx.doi.org/10.1016/j.physa.2007.04.053}}, doi = {{10.1016/j.physa.2007.04.053}}, volume = {{383}}, year = {{2007}}, }