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- W4243362770 abstract "The simplest static model takes one interest rate curve, one prepayment curve, one default curve, and one recovery curve. Each curve represents one view of its variable over time which may be the expectation, a stressful scenario, or something else. In the simple case of one stochastic variable, each path uses a different forward rate curve, and other variables are derived from that. Each path will potentially result in different bond cash flows and be discounted differently, and hence have a different price. The average of these prices is an estimate of the mean of the theoretical price distribution. Such a sample mean improves in accuracy as the number of samples increases. So the more paths executed, the more accurate the estimate. This chapter further discusses Gaussian Copula, Monte Carlo stimulation, synthetic credit index, etc. in detail." @default.
- W4243362770 created "2022-05-12" @default.
- W4243362770 date "2012-01-02" @default.
- W4243362770 modified "2023-10-17" @default.
- W4243362770 title "Stochastic Models" @default.
- W4243362770 doi "https://doi.org/10.1002/9781119196686.ch7" @default.
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