We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply ...

We study Ornstein-Uhlenbeck stochastic processes driven by Lévy processes, and extend them to more general non-Ornstein-Uhlenbeck models. In particular, we investigate the means of making the ...

Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

This is a preview. Log in through your library . Abstract This paper analyses the stochastic simulation of econometric models using three different methods for ...

A common shortcut for forecasting initial margin requirements and margin valuation adjustments that are aligned with the International Swaps and Derivatives Association’s Standard Initial Margin Model ...