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Interacting path systems for credit portfolios risk analysis

Pierre del Moral 1 Frédéric Patras 2 
1 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
Abstract : This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in credit portfolios. A full development of this Note incorporating technical details and a survey of the use of Interacting Particle Systems in the field of credit risk, \it Interacting path systems for credit risk, is submitted for publication in \it Recent Advancements in the Theory and Practice of Credit Derivatives, Eds T. Bielecki, D. Brigo, F. Patras, Bloomberg Press (2011). The reader is referred to this article for further details.
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Contributor : Pierre Del Moral Connect in order to contact the contributor
Submitted on : Sunday, February 7, 2010 - 8:22:30 AM
Last modification on : Saturday, June 25, 2022 - 11:02:59 PM
Long-term archiving on: : Thursday, October 18, 2012 - 2:45:50 PM


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  • HAL Id : inria-00454005, version 1


Pierre del Moral, Frédéric Patras. Interacting path systems for credit portfolios risk analysis. [Research Report] RR-7196, INRIA. 2010, pp.9. ⟨inria-00454005⟩



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