Berlin 2008 – wissenschaftliches Programm
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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme
AKSOE 16: Financial Markets and Risk Management III
AKSOE 16.2: Vortrag
Donnerstag, 28. Februar 2008, 14:00–14:30, EW 203
Credit risk — a structural model with jumps and correlations — •Rudi Schäfer1,2, Markus Sjölin1, Andreas Sundin1, Michal Wolanski1, and Thomas Guhr2 — 1Mathematical physics, LTH, Lund university, Sweden — 2Fachbereich Physik, Universität Duisburg-Essen, Germany
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump–diffusion process for the risk factors, i.e. for the company assets. We also include correlations between the companies. We study a simplified version of our model analytically. Furthermore, we perform extensive numerical simulations for the full model. The observables are the loss distribution of the credit portfolio, its moments and other quantities derived thereof. We compile detailed information about the parameter dependence of these observables. In the course of setting up and analyzing our model, we also give a review of credit risk modeling for a physics audience.