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Optimization in a simulation setting: Use of function approximation in debt strategy analysis
Bolder, David Jamieson; Rubin, Tiago - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. …
Persistent link: https://www.econbiz.de/10010279867
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A Simulation Model of Public Debt Sustainability
Albu, Lucian-Liviu - 2010
There is a long period since the problem of public debt sustainability captures the attention of economists. However, there is no unanimity concerning an adequate unique sustainability indicator or function generally accepted. Just in this line of elaborating new models and improving...
Persistent link: https://www.econbiz.de/10013147756
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Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies
Hostland, Doug - 2014
This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which allow assessment of external and public debt in a unified framework' public and external debt,...
Persistent link: https://www.econbiz.de/10012752024
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Risk management of savings accounts
Džmuráňová, Hana; Teplý, Petr - 2014
This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a relatively attractive rate of return and two embedded options: a customer's option to withdraw money at any time and a bank's option to set the deposit as it wishes. The risk...
Persistent link: https://www.econbiz.de/10010344157
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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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Bank Stress Testing : A Stochastic Simulation Framework
Montesi, Giuseppe - 2015
We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability …
Persistent link: https://www.econbiz.de/10013034691
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
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 …
Persistent link: https://www.econbiz.de/10013023044
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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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Bank Stress Testing : A Stochastic Simulation Framework to Assess Banks’ Financial Fragility
Montesi, Giuseppe - 2018
We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy …
Persistent link: https://www.econbiz.de/10012936094
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A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk
Breuer, Thomas - 2010
We propose a new method for analysing multi-period stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....
Persistent link: https://www.econbiz.de/10013142061