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

DOI10.1016/J.PHYSA.2016.06.127MaRDI QIDQ1619953zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(2)

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

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