相关论文: An application to credit risk of a hybrid Monte Ca…

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically…

High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model,…

We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…

Financial derivative pricing is a significant challenge in finance, involving the valuation of instruments like options based on underlying assets. While some cases have simple solutions, many require complex classical computational methods…

Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call $1\frac{1}{2}$-level simulation since the…

We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated…

In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…

Credit risk assessment of a company is commonly conducted by utilizing financial ratios that are derived from its financial statements. However, this approach may not fully encompass other significant aspects of a company. We propose the…

Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates…

We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…

Conditional Monte Carlo refers to sampling from the conditional distribution of a random vector X given the value T(X) = t for a function T(X). Classical conditional Monte Carlo methods were designed for estimating conditional expectations…

Understanding the dependence relationship of credit spreads of corporate bonds is important for risk management. Vine copula models with tail dependence are used to analyze a credit spread dataset of Chinese corporate bonds, understand the…

Simplified vine copulas are flexible tools over standard multivariate distributions for modeling and understanding different dependence properties in high-dimensional data. Their conditional distributions are of utmost importance, from…

There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a Coupled Markov Chain approach to model rating transitions…

During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…

The reliability of a complex industrial system can rarely be assessed analytically. As system failure is often a rare event, crude Monte-Carlo methods are prohibitively expensive from a computational point of view. In order to reduce…

The hardcore-Bose-Hubbard model with random chemical potential is investigated using quantum Monte Carlo simulation. We consider two cases of random distribution of the chemical potential: a uniformly random distribution and a correlated…

In nuclear fusion and fission, fluctuation and dissipation arise due to the coupling of collective degrees of freedom with internal excitations. Close to the barrier, both quantum, statistical and non-Markovian effects are expected to be…

We propose a new type of Monte Carlo approach in numerical studies of quantum systems. Introducing a probability function which determines whether a state in the vector space survives or not, we can evaluate expectation values of powers of…