Title :
Calculation of default probability (PD) solving Merton Model PDEs on sparse grids
Author :
Schroeder, Philipp ; Wittum, Gabriel
Author_Institution :
Goethe-Center for Sci. Comput., Goethe-Univ., Frankfurt am Main, Germany
Abstract :
Actual developments of the sub-prime crisis of 2008 have put a strong focus on the importance of credit default models. The Merton Model is one of these models, using partial differential equations to calculate the probability of default (PD) for a correlated credit portfolio. The resulting equations are discretized on structured sparse grids through the method of Finite-Differences and numerically solved using the software package SG2. Parallel Computing is used to speed up the calculations.
Keywords :
credit transactions; finite difference methods; grid computing; parallel processing; partial differential equations; probability; SG2 software package; correlated credit portfolio; credit default model; default probability solving Merton model PDE; finite differences; parallel computing; partial differential equation; sparse grids; Banking; Finite difference methods; Parallel processing; Partial differential equations; Portfolios; Pricing; Probability; Risk management; Scientific computing; Software packages;
Conference_Titel :
Parallel & Distributed Processing, 2009. IPDPS 2009. IEEE International Symposium on
Conference_Location :
Rome
Print_ISBN :
978-1-4244-3751-1
Electronic_ISBN :
1530-2075
DOI :
10.1109/IPDPS.2009.5161149
