Long range Ising model for credit risk modeling

AIP Conference Proceedings

Volumn 779, Issue , 2005, Pages 156-161

  Molins, Jordi ^a   Vives, Eduard ^b  

^a UNIVERSITAT POLITÈCNICA DE CATALUNYA   (Spain)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33749461272     PISSN: 0094243X     EISSN: 15517616     Source Type: Conference Proceeding    
DOI: 10.1063/1.2008607     Document Type: Conference Paper

References (9)

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3. Lucas, D., Default correlation: from definition to proposed solutions, Tech. rep., CDO Research, UBS (2004).
4. D.Egloff, M.Leippold, and P.Vanini, "A simple model of credit contagion," in EFA 2004 Maastrich Meeting Paper No.1142; EFMA 2004 Basel Meetings Paper, 2004.
5. R.Martin, K.Thompson, and C.Browne, Risk, July, 86-91 (2001).
6. M.Crouhy, D.Galai, and R.Mark, Journ. of Banking and Finance, 24, 59-117 (2000).
7. M.Gordy, Journ. of Banking and Finance, 24, 119-149 (2000).
8. A.Elizalde, Default correlation in intensity models, Master's thesis, King's College London (2003).
9. M.M.Tsypin, and H.W.J.Blöte, Phys. Rev. E, 62, 73-76 (2000).