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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …
Persistent link: https://www.econbiz.de/10011890804
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Stochastic optimization system for bank reverse stress testing
Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43
propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …
Persistent link: https://www.econbiz.de/10012322078
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A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation
Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632
The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...
Persistent link: https://www.econbiz.de/10012175768
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012022212
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012611139
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Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95
testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …
Persistent link: https://www.econbiz.de/10012115106
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Assessing public debt sustainability for Costa Rica using the fiscal reaction function
Lankester-Campos, Valerie; Loaiza-Marín, Kerry; … - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-29
This paper assesses Costa Rica's public debt sustainability empirically using three complementary approaches: the calculation of the debt-stabilizing primary fiscal balance obtained from the government's intertemporal budget constraint, the estimation of the parameters of a fiscal policy...
Persistent link: https://www.econbiz.de/10012545620
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Techniques and Simulation Models in Risk Management
GHEORGHE, Mirela - In: Economia. Seria Management 15 (2012) 2, pp. 354-362
In the present paper, the scientific approach of the research starts from the theoretical framework of the simulation … concept and then continues in the setting of the practical reality, thus providing simulation models for a broad range of … inherent risks specific to any organization and simulation of those models, using the informatics instrument @Risk (Palisade …
Persistent link: https://www.econbiz.de/10010857607
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Bond yields, sovereign risk and maturity structure
González-Fernández, Marcos; González-Velasco, Carmen - In: Risks : open access journal 6 (2018) 4, pp. 1-25
The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and...
Persistent link: https://www.econbiz.de/10011906151
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The hurricane decision simulator : a tool for marine forces in new orleans to practice operations management in advance of a hurricane
Regnier, Eva D.; MacKenzie, Cameron A. - In: Manufacturing & service operations management : M & SOM 21 (2019) 1, pp. 103-120
Persistent link: https://www.econbiz.de/10012001004