---------- Forwarded message ----------
Date: Fri, 16 Feb 2007 10:29:36 +0100
From: Annette Weihs <annette.weihs(a)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).
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
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