Long-range Ising model for credit portfolios with heterogeneous credit exposures

DOI10.1016/J.PHYSA.2016.06.127zbMATH Open1400.91638OpenAlexW2465991096MaRDI QIDQ1619953FDOQ1619953

Authors: Kensuke Kato 

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.127

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zbMATH Keywords

econophysicsloss distributioncredit risk modelingheterogeneous credit exposurelong-range Ising modelreplica exchange Monte Carlo

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Credit risk (91G40) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20)

Cites Work

• Long range Ising model for credit risk modeling
• Graphical models for correlated defaults

Cited In (2)

• PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices
• Long range Ising model for credit risk modeling

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