The credit default simulator is based on a simplified version credit risk methodology, extended to multiple periods. Beginning with a portfolio of assets, which are assumed to be in one-to-one correspondence with names, the model simulates a change in the value of the name for each period.https://ia904702.us.archive.org/7/items/monte-carlo-bgm/MonteCarloBgm.pd
The counterparty credit risk is particularly hard to simulate and this thesis is only the second wor...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by ...
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and pract...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
In this paper, we present a multi-name incomplete information structural model which possess the con...
The most extensively studied form of credit risk is the default risk which is the risk that an oblig...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
Credit risk is the risk of losing contractually obligated cash flows promised by a counterparty such...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
Implementation of reliable rating systems for small credit portfolio is hindered by non-observed def...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by ...
The market for derivatives with payoffs contingent on the credit quality of a number of reference en...
The counterparty credit risk is particularly hard to simulate and this thesis is only the second wor...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by ...
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and pract...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
In this paper, we present a multi-name incomplete information structural model which possess the con...
The most extensively studied form of credit risk is the default risk which is the risk that an oblig...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
Credit risk is the risk of losing contractually obligated cash flows promised by a counterparty such...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
Implementation of reliable rating systems for small credit portfolio is hindered by non-observed def...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by ...
The market for derivatives with payoffs contingent on the credit quality of a number of reference en...
The counterparty credit risk is particularly hard to simulate and this thesis is only the second wor...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
DOI
Add to ORKG