In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …

We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given … identify the default condition, and solve the model by Monte Carlo simulation. First, we present the model; then we show how to …

This paper studies in detail simulation methods for simulating tail probability and tail mean of both univariate and …

the severity distributions most commonly used in these settings, and it is tested against extensive Monte Carlo simulation …

with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict …