Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensi...

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Bibliographic Details
Main Author: Johansson, Sam
Format: Others
Language:English
Published: KTH, Matematisk statistik 2019
Subjects:
CCR
OTC derivatives
European option
Bermudan option
CVA
jump-diffusion model
stochastic intensity model
Monte Carlo
variance reduction
importance sampling
least squares Monte Carlo
OTC-derivat
europeisk option
Bermuda-option
jump-diffusion-modell
stokastisk intensitetsmodell
variansreduktion
Probability Theory and Statistics
Sannolikhetsteori och statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252566

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252566

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