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Long-range Ising model for credit portfolios with heterogeneous credit exposures #2

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Kashalpha opened this issue Mar 15, 2021 · 1 comment
Open

Long-range Ising model for credit portfolios with heterogeneous credit exposures #2

Kashalpha opened this issue Mar 15, 2021 · 1 comment
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Risk Management リスク管理

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@Kashalpha
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一言でいうと

スピンのアップ・ダウンとデフォルトの有無を対応付けて、ポートフォリオ全体のデフォルトの分布を、2体の長距離相互作用を持つIsingモデルとして分析した論文。レプリカ交換モンテカルロをもちいて、損失分布のサンプリングが可能。

論文リンク

https://www.sciencedirect.com/science/article/abs/pii/S0378437116304022

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要するにボルツマンマシンですね。
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@Kashalpha