a multivariate Dynamic Conditional Correlation simulation approach reduce the capital requirements by about 11% … requirements. This paper analyses the efficiency of empirical, parametric and simulation based VaR and CVaR optimised portfolios on …

and other variants of matching, as well as different parametric models. The simulation design used is based on real data …

correlation in returns. The empirical analysis spotlights that a probable link between the previous two stylized facts and the …

these models can be performed by Monte Carlo simulation. The standard simulation method, which requires the discretization … of the intensity process, leads to biased simulation estimators. The magnitude of the bias is often hard to quantify …. This paper develops an exact simulation method for intensity-based models that leads to unbiased estimators of credit …