JEL Classification C15
"Statistical Simulation Methods; Monte Carlo Methods"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C15 classification. (sorted by date) Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(220K PDF) -- 19 pages -- May 16, 2008 Self-exciting Corporate Defaults
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(487K PDF) -- 36 pages -- May 1, 2008 Nested Simulation in Portfolio Risk Measurement
by Michael B. Gordy of the Federal Reserve Board, and
Sandeep Juneja of the Tata Institute of Fundamental Research
(347K PDF) -- 33 pages -- April 8, 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 A Stochastic Framework for Public Debt Sustainability Analysis
by Gabriel Di Bella of the International Monetary Fund
(525K PDF) -- 28 pages -- March 2008 Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(308K PDF) –- 20pages -- December 17, 2007 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of Fitch-Solutions,
Antonio Dalessandro of Fitch-Solutions,
Matthias Neugebauer of Fitch-Solutions, and
Fares Triki of Fitch-Solutions
(893K PDF) -- 43 pages -- November 17, 2007 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Fitch Ratings, QFR
(366K PDF) –- 21 pages -- November 2007 Asset Correlations and Credit Portfolio Risk: An empirical analysis
by Klaus Düllmann of Deutsche Bundesbank,
Martin Scheicher of the European Central Bank, and
Christian Schmieder of the European Investment Bank
(414K PDF) -- 52 pages -- September 2007 Dependency without Copulas or Ellipticity
by William T. Shaw of King's College London
(1,690K PDF) -- 10 pages -- September 2007 Quantile Mechanics
by György Steinbrecher of the University of Craiova, Romania, and
William T. Shaw of King's College London
(243K PDF) -- 18 pages -- July 16, 2007 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(242K PDF) -- 9 pages -- July 15, 2007 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Veža of Vienna University of Economics and Business Administration
(636K PDF) –- 37 pages -- July 6, 2007 Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
by Marco Morone of Intesasanpaolo bank,
Anna Cornaglia of Intesasanpaolo bank, and
Giulio Mignola of Intesasanpaolo bank
(941K PDF) –- 20 pages -- March 2, 2007 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of Stanford University,
Guillaume Horel of Stanford University, and
Leandro Saita of Lehman Brothers
(370K PDF) –- 50 pages -- October 19, 2006 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 2006 Dependent Credit Migrations
by Jonathan Wendin of ETH Zürich, and
Alexander J. McNeil of ETH Zürich
(261K PDF) -- 25 pages -- July 2006 Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
by Johannes Ruf of the University of Ulm, and
Matthias Scherer of the University of Ulm
(202K PDF) –- 18 pages -- June 1, 2006 Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(336K PDF) –- 24 pages -- April 18, 2006 Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach
by Oya Celasun of the International Monetary Fund,
Xavier Debrun of the International Monetary Fund, and
Jonathan D. Ostry of the International Monetary Fund
(771K PDF) -- 54 pages -- March 2006 Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova of the International Monetary Fund,
Salih N. Neftci of CUNY, and
Sunil Sharma of the International Monetary Fund
(1,082K PDF) -- 26 pages -- January 2006 A Structural Credit-Risk Model based on a Jump Diffusion
by Matthias Scherer of the University of Ulm
(277K PDF) -- 28 pages -- December 2, 2005 Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 2005 Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(763K PDF) -- 29 pages -- August 1, 2005 From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(408K PDF) –- 18 pages -- March 22, 2005 An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) – 21 pages -- March 2005 CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004 Global Sensitivity Analysis for Latent Factor
by Dirk Baur of the Joint Research Center - EU Commission,
Jessica Cariboni of the Joint Research Center - EU Commission, and
Francesca Campolongo of the Joint Research Center - EU Commission
(199K PDF) -- 29 pages -- November 2004 Double Default Correlation
by Martijn van der Voort of Erasmus University Rotterdam & ABN AMRO
(478K PDF) -- 26 pages -- July 17, 2004 Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA – Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(2,027K PDF) -- 40 pages -- December 2003 Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 Beyond Correlation: Extreme Co-movements Between Financial Assets
by Roy Mashal of Columbia University, and
Assaf Zeevi of Columbia University
(754K PDF) -- 48 pages -- October 14, 2002 Barnhill Jr., Theodore M. and William F. Maxwell, "Modeling correlated market and credit risk in fixed income portfolios", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 347-374. [Abstract] VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
by Norbert Jobst of the University of Cyprus & Brunel University, and
Stavros A. Zenios of the University of Cyprus & University of Pennsylvania
(599K PDF) -- 35 pages -- July 2001 Comparative Analysis of Alternative Credit Risk Models: an Application on German Middle Market Loan Portfolios
by Markus Kern of the Ludwig-Maximilians-University Munich, and
Bernd Rudolph of the Ludwig-Maximilians-University Munich
(146K PDF) -- 30 pages -- January 2001 A Comparative Anatomy of Credit Risk Models
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(481K PDF) -- 31 pages -- January 2000 Jamshidian, Farshid and Yu Zhu, "Scenario Simulation: Theory and methodology", Finance and Stochastics, Vol. 1, No. 1 (December 1996), pp. 43-67. [Abstract]
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