COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION

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 fi...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autor principal:	Dmitry V. Bogdanov
Formato:	article
Lenguaje:	RU
Publicado:	Plekhanov Russian University of Economics 2017
Materias:	binominal model default correlation torical model ising model risk diversification Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/206f2bbd7f1147559a4c31adce9a9a98
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:206f2bbd7f1147559a4c31adce9a9a98
record_format	dspace
spelling	oai:doaj.org-article:206f2bbd7f1147559a4c31adce9a9a982021-11-15T05:20:43ZCOMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION2413-28292587-925110.21686/2413-2829-2015-4-68-73https://doaj.org/article/206f2bbd7f1147559a4c31adce9a9a982017-09-01T00:00:00Zhttps://vest.rea.ru/jour/article/view/63https://doaj.org/toc/2413-2829https://doaj.org/toc/2587-9251The 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.Dmitry V. BogdanovPlekhanov Russian University of Economicsarticlebinominal modeldefault correlationtorical modelising modelrisk diversificationEconomics as a scienceHB71-74RUВестник Российского экономического университета имени Г. В. Плеханова, Vol 0, Iss 4, Pp 68-73 (2017)
institution	DOAJ
collection	DOAJ
language	RU
topic	binominal model default correlation torical model ising model risk diversification Economics as a science HB71-74
spellingShingle	binominal model default correlation torical model ising model risk diversification Economics as a science HB71-74 Dmitry V. Bogdanov COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
description	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.
format	article
author	Dmitry V. Bogdanov
author_facet	Dmitry V. Bogdanov
author_sort	Dmitry V. Bogdanov
title	COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
title_short	COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
title_full	COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
title_fullStr	COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
title_full_unstemmed	COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION
title_sort	computer-efficient binominal model of default distribution
publisher	Plekhanov Russian University of Economics
publishDate	2017
url	https://doaj.org/article/206f2bbd7f1147559a4c31adce9a9a98
work_keys_str_mv	AT dmitryvbogdanov computerefficientbinominalmodelofdefaultdistribution
_version_	1718428731198930944

COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION

Ejemplares similares