Fast Algorithms for Computing Corporate Default Probabilities
Identifieur interne : 000532 ( Main/Exploration ); précédent : 000531; suivant : 000533Fast Algorithms for Computing Corporate Default Probabilities
Auteurs : Amir Atiya [États-Unis]Source :
- Lecture Notes in Computer Science [ 0302-9743 ] ; 2000.
Abstract
Abstract: In this paper we consider the corporate default problem. One of the well-known approaches is to model the dynamics of the assets of the firm, and compute the probability that the assets fall below a threshold (which is related to the firm’s liabilities). When modeling the asset value dynamics as a jump-diffusion process (the most realistic model), a serious computational problem arises. In this paper we propose a fast method for computing the default probability. The new method achieves significant acceleration over the available approach.
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DOI: 10.1007/3-540-44491-2_33
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