Abstract of Gabriel Wittum

Calculation of Default Probability (PD) for large credit portfolios using sparse grids and dimension reduction techniques
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, 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 by the combination technique and numerically solved using the software package SG2. Dimensional reduction techniques are introduced to reduce complexity of the high (d>10) dimensional problems. Parallel Computing is used to speed up the calculations.


Lars Grasedyck (MPI Leipzig, Germany)
Wolfgang Hackbusch (MPI Leipzig, Germany)
Boris Khoromskij (MPI Leipzig, Germany)