Varsanyi, Zoltan (2008): Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time.
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In this paper I present a method for the simulation of the default of such loans that have two important properties: they are seasoned – maybe even being at different points of the seasoning curve – and they evolve in an asset-value based framework. This latter model allows us to introduce correlation between the loan defaults. Although these two features are widely considered in modelling, linking them into one single (simulation) framework might not be that common. However, the most important merit of this paper is showing a fast and accurate simulation algorithm for the asset values.
|Item Type:||MPRA Paper|
|Original Title:||Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time|
|Keywords:||credit risk; simulation|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General|
|Depositing User:||Zoltan Varsanyi|
|Date Deposited:||09. Aug 2008 13:26|
|Last Modified:||19. Feb 2013 11:40|
Varsanyi, Z. (2006): “The Basel II IRB approach revisited: do we use the correct model?”, MPRA Paper 1244, University Library of Munich, Germany.
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- Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time. (deposited 09. Aug 2008 13:26) [Currently Displayed]