Calculation of default probability (PD) solving merton model PDEs on sparse grids

Philipp Schroeder*, Gabriel Wittum

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Actual developements 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.

Original languageEnglish (US)
Title of host publicationIPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium
DOIs
StatePublished - Nov 25 2009
Event23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 - Rome, Italy
Duration: May 23 2009May 29 2009

Publication series

NameIPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium

Other

Other23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009
CountryItaly
CityRome
Period05/23/0905/29/09

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Hardware and Architecture
  • Software

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