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Florian BOURGEY (CMAP, Ecole Polytechnique) "Meta-modeling and Polynomial Chaos Expansion with applications to credit risk assessment. "

November 16, 2020 @ 3:30 pm - 4:30 pm
Joint seminar CMAP-CREST-ENSTA “Stochastic Model in Finance “
1st Monday of each month
Time: 15:30 pm – 16:30 pm
Date: 16th of November 2020
Place: by zoom
Florian BOURGEY (CMAP, Ecole Polytechnique) “Meta-modeling and Polynomial Chaos Expansion with applications to credit risk assessment. ”

Abstract: Motivated by the numerous examples arising in credit risk modeling, we propose a general meta-model framework for large sums of weighted Bernoulli random variables which are conditional independent on a common factor X. Our generic approach is based on a Polynomial Chaos Expansion on the common factor together with some Gaussian approximation. L2 error estimates are given when the factor X is associated with classical orthogonal polynomials.

 
Organizers:
Caroline HILLAIRET (CREST ) and Peter TANKOV (CREST)
Sponsors:
CREST -ECODEC
Address : ENSAE ParisTech  5, avenue Henry Le Chatelier 91120 Palaiseau, How to come?