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) Determining Marginal Contributions of the Economic Capital of Credit Risk Portfolio: An analytical approach
by Marco Morone of Intesa Sanpaolo,
Anna Cornaglia of Intesa Sanpaolo, and
Giulio Mignola of Intesa Sanpaolo
(670K PDF) -- 17 pages -- June 2012 Systemic Risk Contributions: A credit portfolio approach
by Natalia Puzanova of Deutsche Bundesbank, and
Klaus Düllmann of Deutsche Bundesbank
(477K PDF) -- 34 pages -- May 21, 2012 Consistent Single- and Multi-step Sampling of Multivariate Arrival Times: A characterization of self-chaining copulas
by Damiano Brigo of King's College, London, and
Kyriakos Chourdakis of King's College, London
(215K PDF) -- 23 pages -- May 1, 2012 Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 Empirical Estimation of Default and Asset Correlation of Large Corporates and Banks in India
by Arindam Bandyopadhyay of National Institute of Bank Management (NIBM), Pune, India, and
Sonali Ganguly of National Institute of Bank Management (NIBM), Pune, India
(415K PDF) -- 27 pages -- August 2011 Some Observations on Improving a Bank's Share Value with Credit Portfolio Management, Credit-transfer Pricing and Stress Testing
by Jeffrey R. Bohn of Solition Financial Analytics, Tokyo, and
Roger M. Stein of Moody's Research Labs, Inc.
(414K PDF) -- 30 pages -- June 30, 2011 The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 Modeling Ultimate Loss Given Default on Corporate Debt
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency, and
Ahmet K. Karagozoglu of the Hofstra University
(149K PDF) -- 26 pages -- May 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency
(863K PDF) -- 16 pages -- March 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 A Comparative Analysis of Correlation Approaches in Finance
by Claudio Albanese of the Independent Consultant at Level 3 Finance,
David Li of the China International Capital Corporation, Ltd,
Edgar Lobachevskiy of the Alphametrix, and
Gunter Meissner of the University of Hawaii
(1072K PDF) -- 52 pages -- January 10, 2011 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
by Qunfang Bao of the Zhejiang University,
Si Chen of the Zhejiang University,
Guimei Liu of the Zhejiang University City College, and
Shenghong Li of the Zhejiang University
(379K PDF) -- 21 pages -- December 27, 2010 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 Completing CVA and Liquidity: Firm-level positions and collateralized trades
by Chris Kenyon of DEPFA Bank Plc.
(2,511K PDF) -- 19 pages -- September 16, 2010 Stress Testing: The impact of shocks on the capital needs of the Luxembourg banking sector
by Abdelaziz Rouabah of the Banque centrale du Luxembourg, and
John Theal of the Banque centrale du Luxembourg
(314K PDF) -- 28 pages -- August 23, 2010 A Systematic Approach to Multi-period Stress Testing of Portfolio Credit Risk
by Thomas Breuer of the Fachhochschule Vorarlberg,
Javier Mencia of the Banco de España, and
Martin Summer of the Oesterreichische Nathionalbank
(754K PDF) -- 26 pages -- June 2010 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri Katz of Qubit Technology Center, and
Nikolai Shokhirev of Qubit Technology Center
(2,891K PDF) -- 34 pages -- June 2010 Discounting Revisited: Valuations under funding costs, counterparty risk and collateralization
by Christian P. Fries of DZ Bank AG
(307K PDF) -- 30 pages -- May 30, 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 Simulating Multiple Defaults and Migration II: Credit value adjustment of credit default swaps
by Chuang Yi of the Royal Bank of Canada
(1,535K PDF) -- 26 pages -- April 14, 2010 Simulation and Estimation of Loss Given Default
by Stefan Hlawatsche of Otto-von-Guericke University, Magdeburg, and
Sebastian Ostrowski of Otto-von-Guericke University, Magdeburg
(548K PDF) -- 38 pages -- March 2010 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(233K PDF) -- 19 pages -- 2010 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 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
(223K PDF) -- 18 pages -- November 5, 2009 Factor Models and the Credit Risk of a Loan Portfolio
by Edgardo Palombini of Fondo Interbancario di Tutela dei Depositi (FITD)
(312K PDF) -- 23 pages -- October 2009 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 Crash Testing German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Martin Erdelmeier of Deutsche Bundesbank
(659K PDF) -- 37 pages -- September 2009 How to Find Plausible, Severe and Useful Stress Scenarios
by Thomas Breuer of the Fachhochschule Vorarlberg,
Martin Jandačka of the Fachhochschule Vorarlberg,
Klaus Rheinberger of the Fachhochschule Vorarlberg, and
Martin Summer of the Oesterreichische Nathionalbank
(496K PDF) -- 20 pages -- September 2009 A Model of Returns for the Post-Credit-Crunch Reality: Hybrid Brownian motion with price feedback
by William T. Shaw of King's College London
(439K PDF) -- 31 pages -- August 30, 2009 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Veža of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 2009 Macro Stress-Testing on the Loan Portfolio of Japanese Banks
by Akira Otani of the Bank of Japan,
Shigenori Shiratsuka of the Bank of Japan,
Ryoko Tsurui of the Bank of Japan, and
Takeshi Yamada of the Bank of Japan
(206K PDF) -- 34 pages -- March 2009 Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
by Marco Morone of Intesa Sanpaolo, and
Anna Cornaglia of Intesa Sanpaolo
(284K PDF) -- 25 pages -- January 23, 2009 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 -- October 3, 2008 Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 2008 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 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, 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 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Lloyds Banking Group
(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 Kaniovski, Yuriy M., Georg Ch. Pflug, " Risk Assessment for Credit Portfolios: A coupled Markov chain model", Journal of Banking & Finance, Vol. 31, No. 8, (August 2007), pp. 2303-2323. 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
(252K PDF) -- 10 pages -- July 15, 2007 On Recovery And Intensity's Correlation: A new class of credit risk models
by Raquel M. Gaspar of the Technical University Lisbon, and
Irina Slinko of Swedbank, AB
(713K PDF) -- 29 pages -- July 2007 Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
by Marco Morone of Intesa-Sanpaolo,
Anna Cornaglia of Intesa-Sanpaolo, and
Giulio Mignola of Intesa-Sanpaolo
(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 the University of Reading
(655K PDF) -- 22 pages -- December 5, 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 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. 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 Federal Reserve Board
(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.
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