to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non …-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We … simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back …

simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events … ensemble of random matrices that models the truly existing set of measured correlation matrices. As a most welcome side effect …