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The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial mathematics)
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial mathematics)
2011 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave [Kunstnerisk arbeiden]
Abstract [en]

In this paper we introduce a model of default contagion in the financail market. The structure of the companies are represented by a Heavy Gravity Portfolio, where we assume there are N sectors in the market and in each sector i, there is one big trader and ni supply companies.The supply companies in each sector are directly inuenced by the bigtrader and the big traders are also pairwise interacting with each other.This development of the Ising model is called Heavy gravity portfolioand according to this, the relation between expectation and correlationof the default of companies are derived by means of simulations utilisingthe Gibbs sampler. Finally methods for maximum likelihood estimationand for a likelihood ratio test of the interaction parameter in the modelare derived.

sted, utgiver, år, opplag, sider
2011. , s. 41
Emneord [en]
Financial Mathematics, Ising model, portfolio, default contagion
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16459Lokal ID: IDE1126OAI: oai:DiVA.org:hh-16459DiVA, id: diva2:448327
Fag / kurs
Financial Mathematics
Presentation
2011-05-30, Wigforssallen, Halmstad University, Halmstad, 14:27 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-10-16 Laget: 2011-10-16 Sist oppdatert: 2011-10-31bibliografisk kontrollert

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