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 …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …

VaR calculation that will be developed in the form of High-order kernel estimator of VaR with historical simulation method … with Historical Simulation estimation methods and the combination of high order kernels increase with increasing order … kernel estimates and tend to be larger than the Historical Simulation estimation methods. Statistical properties indicates …

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …