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Presentation . 2022
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Credit Pricing Model Monte Carlo Acceleration

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 29 Nov 2022Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7378499 , 10.5281/zenodo.7378498 , 10.5281/zenodo.7832058

Credit Pricing Model Monte Carlo Acceleration

Abstract

A new procedure is presented to accelerate the convergence of Monte Carlo simulations using the Default Correlation model. It is found that the modifications have been implemented correctly, and that the modifications result in a substantial improvement in the convergence rate of the Monte Carlo simulation models.

https://ia601505.us.archive.org/8/items/brownian-bridge/BrownianBridge.pdf

Keywords

Credit Pricing Model Monte Carlo Acceleration

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selected citations
These citations are derived from selected sources.
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
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Average
3
8
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