Title

Parallel numerical simulation of strategic bankruptcy

Document Type

Article

Publication Date

4-2008

Abstract

In this paper, we extend the strategic default bankruptcy model to predict risky premium on defaultable bonds in a more realistic economic environment. By considering interest rates, taxes and the voltality of business operations, the model becomes considerably complicated, which imposes significant challenges on the mathematical framework as well as the computation power required in simulating the stochastic process. Since it is hard to obtain a closed form analytical solution for the framework, numerical simulation is an alternative. We present a dynamic block allocation algorithm for parallel Quasi-Monte Carlo(QMC) simulation. The convergence speed of the model is also studied. Simulation results show that our model can be used to estimate risk and risk premium in financial economics.

Publisher's Statement

©2008 IEEE. Publisher's version of record: http://dx.doi.org/10.1109/IPDPS.2008.4536456

Publication Title

Parallel and Distributed Processing, 2008. IPDPS 2008. IEEE International Symposium on

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