Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower … faster than MC simulation and which avoids the single-sample bias of historical simulation. Random orthogonal matrix (ROM …) simulation is a fast matrix-based simulation method that applies directly to an historical sample, or to a parametric …

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

deviations theory under various settings. The results are confirmed by a simulation study …

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 …

We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability …

managers that have an expectation that risk and loss contributions will be approximately equal. A simulation study is conducted … to replicate the environment required by the proof. The Quantile Simulation method is used to simulate asset return …

propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …