DocumentCode
3249874
Title
Numerical study on the systems of nonlinear ordinary differential equations for default risk model
Author
Inoue, Manabu ; Ishimura, Naoyuki ; Nakamura, Masaaki
Author_Institution
Coll. of Sci. & Technol., Nihon Univ., Tokyo, Japan
fYear
2010
fDate
29-31 Oct. 2010
Firstpage
1066
Lastpage
1069
Abstract
We deal with the systems of ordinary differential equations (ODEs), which nonlinearly extend a looping default model of defaultable firms. Unknown functions are defined through a weighted integral of the tail distribution functions of the first jump time. We perform numerical study on these systems, especially on the blowing-up behavior of solutions, and consider the meaning of our results in financial economics.
Keywords
differential equations; economics; finance; integral equations; nonlinear equations; numerical analysis; risk management; blowing-up behavior; default risk model; defaultable firms; financial economics; nonlinear ordinary differential equations; tail distribution functions; weighted integral; Numerical models; TV; looping default risk model; numerical study of blowing-up behavior; systems of nonlinear ordinary differential equations;
fLanguage
English
Publisher
ieee
Conference_Titel
Industrial Engineering and Engineering Management (IE&EM), 2010 IEEE 17Th International Conference on
Conference_Location
Xiamen
Print_ISBN
978-1-4244-6483-8
Type
conf
DOI
10.1109/ICIEEM.2010.5646439
Filename
5646439
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