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ZENODO
Presentation . 2022
License: CC BY
Data sources: Datacite
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
ZENODO
Presentation . 2022
License: CC BY
Data sources: Datacite
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Weighted Monte Carlo Sensitivity Calculation

descriptionPublicationkeyboard_double_arrow_right Presentation 01 Dec 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7387896 , 10.5281/zenodo.7387897

Weighted Monte Carlo Sensitivity Calculation

Abstract

The model is a non-parametric approach to value complex CDO structures that need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and loss-trigger leverage super senior tranches (LT-LSS).

https://ia904704.us.archive.org/2/items/callableInverseSwap/callableInverseSwap.pdf

Keywords

Weighted Monte Carlo Sensitivity Calculation

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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).
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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).
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impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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