Long range Ising model for credit risk modeling

MaRDI QIDQ3656623zbMATH OpenFDO

Authors Jordi Molins, Eduard Vives

Publication date 13 January 2010

Full work available at URL https://arxiv.org/abs/cond-mat/0401378

zbMATH Keywords

credit portfoliolong-range Ising modelmaximum entropy principlevalue-at-risk

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Credit risk (91G40)

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Cited in

(6)

• Credit portfolio risk and asset price cycles
• Long-range Ising model for credit portfolios with heterogeneous credit exposures
• Crises and collective socio-economic phenomena: simple models and challenges
• Moody's correlated binomial default distributions for inhomogeneous portfolios
• Nonexistence of Markovian time dynamics for graphical models of correlated default
• A response function of Merton model and kinetic Ising model

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