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

DOI10.1016/j.physa.2016.06.127zbMath1400.91638OpenAlexW2465991096MaRDI QIDQ1619953

Kensuke Kato

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.127

zbMATH Keywords

econophysicsloss distributioncredit risk modelingheterogeneous credit exposurelong-range Ising modelreplica exchange Monte Carlo

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20) Credit risk (91G40)

Cites Work

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