---------- Forwarded message ---------- Date: Fri, 16 Feb 2007 10:29:36 +0100 From: Annette Weihs annette.weihs@oeaw.ac.at Subject: RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26

Prof. Wolfgang Runggaldier

University of Padua

Monday, March 26, 17:15, HS 6

Title: Contagious default: Application of methods of Statistical Mechanics in Finance.

Abstract: Firms may default and thus not be able to honor their financial obligations. Default is in general contagious (infectious).

Its study is therefore important for an institution holding a credit portfolio of a large number of defaultable firms.

Interacting particle methods turn out to be a convenient tool to deal with these phenomena. We shall study limit distributions when the number of firms goes to infinity as well as their approximations when the number of firms is finite but large. This allows to explain various phenomena like default clustering and, in general, it allows to view a credit crisis as a microeconomic phenomenon driven by endogenous financial indicators.

(Based on joint work with P. Dai Pra, E. Sartori, M. Tolotti).

Annette Weihs

Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences

Altenbergerstr. 69 A-4040 Linz Tel.: +43 (0)732 2468-5211 Fax: +43 (0)732 2468-5212 e-mail: annette.weihs@oeaw.ac.at http://www.ricam.oeaw.ac.at

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