The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion

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...

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Bibliographic Details
Main Authors: Zhao, Yang, Zhang, Min
Format: Others
Language:English
Published: Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) 2011
Subjects:
Financial Mathematics
Ising model
portfolio
default contagion
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16459
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spelling ndltd-UPSALLA1-oai-DiVA.org-hh-164592013-01-08T13:33:58ZThe Ising Model on a Heavy Gravity Portfolio Applied to Default ContagionengZhao, YangZhang, MinHögskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)2011Financial MathematicsIsing modelportfoliodefault contagionApplied mathematicsTillämpad matematikMathematical statisticsMatematisk statistikIn 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. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16459Local IDE1126application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Financial Mathematics
Ising model
portfolio
default contagion
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
spellingShingle Financial Mathematics
Ising model
portfolio
default contagion
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik
Zhao, Yang
Zhang, Min
The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
description 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.
author Zhao, Yang
Zhang, Min
author_facet Zhao, Yang
Zhang, Min
author_sort Zhao, Yang
title The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
title_short The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
title_full The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
title_fullStr The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
title_full_unstemmed The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
title_sort ising model on a heavy gravity portfolio applied to default contagion
publisher Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
publishDate 2011
url http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16459
work_keys_str_mv AT zhaoyang theisingmodelonaheavygravityportfolioappliedtodefaultcontagion
AT zhangmin theisingmodelonaheavygravityportfolioappliedtodefaultcontagion
AT zhaoyang isingmodelonaheavygravityportfolioappliedtodefaultcontagion
AT zhangmin isingmodelonaheavygravityportfolioappliedtodefaultcontagion
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