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- W2133005941 abstract "In this paper, we extend the strategic default bankruptcy model to predict risky premium on defaultable bonds in a more realistic economic environment. By considering interest rates, taxes and the voltality of business operations, the model becomes considerably complicated, which imposes significant challenges on the mathematical framework as well as the computation power required in simulating the stochastic process. Since it is hard to obtain a closed form analytical solution for the framework, numerical simulation is an alternative. We present a dynamic block allocation algorithm for parallel Quasi-Monte Carlo(QMC) simulation. The convergence speed of the model is also studied. Simulation results show that our model can be used to estimate risk and risk premium in financial economics." @default.
- W2133005941 created "2016-06-24" @default.
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- W2133005941 date "2008-04-01" @default.
- W2133005941 modified "2023-09-25" @default.
- W2133005941 title "Parallel numerical simulation of strategic bankruptcy" @default.
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- W2133005941 doi "https://doi.org/10.1109/ipdps.2008.4536456" @default.
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