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

Philipp Schroeder; Gabriel Wittum

doi:10.1109/IPDPS.2009.5161149

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 proceeding › Conference contribution › peer-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 language	English (US)
Title of host publication	IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium
DOIs	https://doi.org/10.1109/IPDPS.2009.5161149
State	Published - 2009
Externally published	Yes
Event	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 - Rome, Italy Duration: May 23 2009 → May 29 2009

Publication series

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

Other

Other	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009
Country/Territory	Italy
City	Rome
Period	05/23/09 → 05/29/09

ASJC Scopus subject areas

Computational Theory and Mathematics
Hardware and Architecture
Software

Access to Document

10.1109/IPDPS.2009.5161149

Cite this

Schroeder, P., & Wittum, G. (2009). Calculation of default probability (PD) solving merton model PDEs on sparse grids. In IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium Article 5161149 (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium). https://doi.org/10.1109/IPDPS.2009.5161149

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title = "Calculation of default probability (PD) solving merton model PDEs on sparse grids",

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.",

author = "Philipp Schroeder and Gabriel Wittum",

year = "2009",

doi = "10.1109/IPDPS.2009.5161149",

language = "English (US)",

isbn = "9781424437504",

series = "IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium",

booktitle = "IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium",

note = "23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 ; Conference date: 23-05-2009 Through 29-05-2009",

}

Schroeder, P & Wittum, G 2009, Calculation of default probability (PD) solving merton model PDEs on sparse grids. in IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium., 5161149, IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium, 23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009, Rome, Italy, 05/23/09. https://doi.org/10.1109/IPDPS.2009.5161149

Calculation of default probability (PD) solving merton model PDEs on sparse grids. / Schroeder, Philipp; Wittum, Gabriel.
IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium. 2009. 5161149 (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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

Abstract

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Other

ASJC Scopus subject areas

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