Parameter estimation of default portfolios using the Merton model and phase transition

DOI10.1016/J.PHYSA.2020.125435OpenAlexW3024392435MaRDI QIDQ2165678

Shintaro Mori, Masato Hisakado

Publication date: 22 August 2022

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

Full work available at URL: https://arxiv.org/abs/2005.07967

zbMATH Keywords

phase transitionanomalous diffusioncredit risk managementMerton model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Phase transition in the Bayesian estimation of the default portfolio
• Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems
• Handbook of High-Frequency Trading and Modeling in Finance
• Digital herders and phase transition in a voting model
• Two kinds of phase transitions in a voting model
• SOCIOPHYSICS: A REVIEW OF GALAM MODELS
• Introduction to Econophysics
• On Pólya–Friedman random walks
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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