Monte Carlo simulation
Quants present new technique to calculate CVA using adjoints
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
More Monte Carlo simulation articles
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market str...
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
ABSTRACT We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance.We work with a general stochastic volatility model that makes realized variance...
ABSTRACT Stochastic scenario analysis of mortgage hedging strategies using single-CPU core machines is often too time consuming. In order to achieve a large practical speedup,we present two methods implemented...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.