[FAM-news] RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26 (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Wed Feb 21 13:20:27 CET 2007


---------- Forwarded message ----------
Date: Fri, 16 Feb 2007 10:29:36 +0100
From: Annette Weihs <annette.weihs at 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 at oeaw.ac.at
http://www.ricam.oeaw.ac.at


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