Seminar 217, Risk Management: "A Simulation Measure Approach to Monte Carlo Methods for Default Timing Problems"
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Apr 21, 2015, 10:00 AM - 11:30 AM | 597 Evans Hall | Happening As Scheduled
Alex Shkolnik, UC Berkeley (Speaker - Featured)
Abstract: Reduced-form models of name-by-name default timing are widely used to measure portfolio credit risk and to analyze securities exposed to a portfolio of names. Monte Carlo (MC) simulation is a common computational tool in such settings. We introduce a new perspective on MC simulation for default timing problems through the concept of a simulation measure. The perspective provides a means...