The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
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 i...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
2011
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16459 |