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Presentation . 2022
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Default Sensitivity

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 28 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7373903 , 10.5281/zenodo.7373904

Default Sensitivity

Abstract

The default sensitivity test in Scenario Manager is implemented by setting the default time of the perturbed obligor to be the valuation date when the present value of each tranche is calculated, no matter when that obligor defaults in the generated Monte Carlo scenarios. Compared with other models, the implementation of Scenario Manager model is simple, direct, and efficient. However, the joint default events generated in the MC scenarios remain unchanged, which is an approximation of the realistic situation.

https://ia601506.us.archive.org/32/items/abs-analytics/AbsAnalytics.pdf

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Default Sensitivity

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download
citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
OpenAIRE UsageCountsViews provided by UsageCounts
downloads
OpenAIRE UsageCountsDownloads provided by UsageCounts
0
Average
Average
Average
1
7
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