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- W3149271189 abstract "Two different probability measures are of importance when calculating the risk of a large portfolio: the risk-neutral measure for pricing, and the real measure to project true earnings. When using Monte Carlo, the natural method is to conduct two different simulations, one in each probability measure. We advocate to simulate portfolios only in the true measure, and, for pricing, to adjust the results by the Radon-Nikodym derivative. This scheme leads to simulations that are significantly faster and whose results are easier to interpret. Our results can also be useful in the calibration of the BGM/J Libor model. It is well-known that calibrating this model to caps and swaptions results in a dispersion of risk-neutral rates that is much higher than the plausible dispersion of real rates. Our scheme uses mean-reversion to correct the real rate distribution while having the advantage of preserving the volatility structure coming from the calibration process. In order to solve this problem we determined a new expression for the variance of the Radon-Nikodym derivative of Gaussian measures, which could be useful in other areas of finance." @default.
- W3149271189 created "2021-04-13" @default.
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- W3149271189 date "2002-01-01" @default.
- W3149271189 modified "2023-09-27" @default.
- W3149271189 title "Efficient Credit Risk Simulation by Optimal Mean-Reversion Adjustment" @default.
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