@inproceedings{8d290779cdb846ab975491dcc2e54565,

title = "Calculation of default probability (PD) solving merton model PDEs on sparse grids",

abstract = "Actual developements of the sub-prime crisis of 2008 have put a strong focus on the importance of credit default models. The Merton Model is one of these models, using partial differential equations to calculate the probability of default (PD) for a correlated credit portfolio. The resulting equations are discretized on structured sparse grids through the method of Finite-Differences and numerically solved using the software package SG2. Parallel Computing is used to speed up the calculations.",

author = "Philipp Schroeder and Gabriel Wittum",

year = "2009",

month = nov,

day = "25",

doi = "10.1109/IPDPS.2009.5161149",

language = "English (US)",

isbn = "9781424437504",

series = "IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium",

booktitle = "IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium",

note = "23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 ; Conference date: 23-05-2009 Through 29-05-2009",

}