We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply ...

Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

Reading course on current topics in stochastic simulation design and analysis, including some subset of input modeling, output analysis, experiment design, simulation optimization, model risk, ...

A common shortcut for forecasting initial margin requirements and margin valuation adjustments that are aligned with the International Swaps and Derivatives Association’s Standard Initial Margin Model ...