Calculation of default probability (PD) solving Merton Model PDEs on sparse grids

Philipp Schroeder; Gabriel Wittum

doi:10.1109/IPDPS.2009.5161149

2009 IEEE International Symposium on Parallel & Distributed Processing (IPDPS)

Calculation of default probability (PD) solving Merton Model PDEs on sparse grids

Year: 2009, Pages: 1-6

DOI Bookmark: 10.1109/IPDPS.2009.5161149

Authors

Philipp Schroeder, Goethe-Center for Scientific Computing, G-CSC, Goethe-University, Frankfurt am Main, Germany
Gabriel Wittum, Goethe-Center for Scientific Computing, G-CSC, Goethe-University, Frankfurt am Main, Germany

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.

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Calculation of default probability (PD) solving Merton Model PDEs on sparse grids

Authors

Abstract

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