COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
https://doi.org/10.21686/2413-2829-2015-4-68-73
Abstract
The analysis of default correlation is especially acute in conditions of the current finance crisis. The article discusses examples of using the binominal model of default distribution in certain cases. The author formulated and proved the equation about types of correlations to solve the task of finding the function of distribution of default possibilities in the general case. This methodology can provide an opportunity to get the vector of elementary possibilities through the known set of max default possibilities of each company and max pair possibilities of default of interconnected companies as a solution for the system of linear and linear-logarithmic model of the system. The author offers ways to simplify the model of the system. The findings can be used both for risk management and credit derivatives in general.
About the Author
Dmitry V. Bogdanov
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
Post-Graduate Student of the Department for Information Technologies of the PRUE
36 Stremyanny Lane, Moscow, 117997, Russian Federation
References
1. Kitova O. V., Kolmakov I. B., D'yakonova L. P. Sistema gibridnykh modeley variantnogo kratkosrochnogo prognozirovaniya pokazateley sotsial'no-ekonomicheskogo razvitiya Rossii [The System of Hybrid Models of Variant Short-Term Forecast of Social and Economic Development in Russia]. Vestnik Rossiyskogo ekonomicheskogo universiteta imeni G. V. Plekhanova [Vestnik of the Plekhanov Russian University of Economics], 2014, No. 12 (78), pp. 88–103. (In Russ.).
2. Bielecki T., Brigo D., Patras F. Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity. Hardcover, 2011.
3. Das S. R., Duffie D., Kapadia N., Saita L. Common Failings: How Corporate Defaults are Correlated. The Journal of Finance, 2007, Vol. 62, No. 2, pp. 93–117.
4. Evans S. N., Hening A. Nonexistence of Markovian Time Dynamics for Graphical Models of Correlated Default. Queueing Systems, 2011, Vol. 69, No. 3–4, pp. 293–312.
5. Filiz I. O., Guo X., Morton J., Sturmfels B. Graphical Models for Correlated Defaults. Mathematical Finance, 2012, Vol. 22, No. 4, pp. 621–644.
6. Gu J.-W., Ching W.-K., Siu T.-K. A Markovian Infectious Model for Dependent Default Risk. International Journal of Intelligent Engineering Informatics, 2011, Vol. 1, No. 2, pp. 174–195.
Review
For citations:
Bogdanov D.V. COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION. Vestnik of the Plekhanov Russian University of Economics. 2015;(4):68-73. (In Russ.) https://doi.org/10.21686/2413-2829-2015-4-68-73
Views:
317
Email this article 