Abstract: In this talk, we discuss the construction of admissible, physics-consistent and identifiable stochastic models for uncertainty quantification. We first consider a continuum mechanics setting ...

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 ...

This is a preview. Log in through your library . Abstract This paper analyses the stochastic simulation of econometric models using three different methods for ...

Advancements in Simulation Methodologies Simulation is getting a serious upgrade, and it’s not just about faster computers ...

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 ...