Narrow search
Showing 11 - 20 of 149,123
Cover Image
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
Cover Image
An Efficient Rare Event Simulation-Based Methodology for Pricing and Risk Management of Financial Derivatives
Clark, Ephraim; Kontosakos, Vasileios; Mitra, Sovan; … - 2022
and accurate simulation due to fundamental issues in small probability estimations. In this paper, we propose a simulation …
Persistent link: https://www.econbiz.de/10013406014
Cover Image
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
Cover Image
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
Cover Image
An Integrated Pricing Model for Defaultable Loans and Bonds
Altman, Edward I. - 2008
During the last two years, credit risk has been playing a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements, which characterize a sound risk...
Persistent link: https://www.econbiz.de/10012727992
Cover Image
Optimization in a simulation setting : use of function approximation in debt strategy analysis
Bolder, David Jamieson (contributor);  … - 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. -- Debt …
Persistent link: https://www.econbiz.de/10003463632
Cover Image
Optimization in a Simulation Setting : Use of Function Approximation in Debt Strategy Analysis
Bolder, David Jamieson - 2008
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/10012725872
Cover Image
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Winker, Peter; Gilli, Manfred - 2001
This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …
Persistent link: https://www.econbiz.de/10009138391
Cover Image
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
Cover Image
Measuring Market Liquidity Risk - Which Model Works Best?
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...
Persistent link: https://www.econbiz.de/10005870304