Location of Repository

Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time

By Zoltan Varsanyi

Abstract

In this paper I present a method for the simulation of the default of such loans that have two important properties: they are seasoned – maybe even being at different points of the seasoning curve – and they evolve in an asset-value based framework. This latter model allows us to introduce correlation between the loan defaults. Although these two features are widely considered in modelling, linking them into one single (simulation) framework might not be that common. However, the most important merit of this paper is showing a fast and accurate simulation algorithm for the asset values.

Topics: C15 - Statistical Simulation Methods: General
Year: 2008
OAI identifier: oai:mpra.ub.uni-muenchen.de:10022

Suggested articles

Preview


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.