Abstract: 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.
| □2010.5.11 16：20～17：50 開催 |
| A Mathematical Model for Multi-Name Credit Based on Community Flocking |
| 講演者：Dr. Kiseop Lee, Department of Mathematics, University of Louisville
(US) |
Copyright c 2010 JST/CREST コハツ・チーム
