Simulation Framework

Anna Schlösser ()
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Anna Schlösser: Hedging and Derivatives Strategies

Chapter Chapter 9 in Pricing and Risk Management of Synthetic CDOs, 2011, pp 227-252 from Springer

Abstract: Abstract Such a simulation framework is useful in the application fields like portfolio optimization and asset-liability management. First, a risk-factor scenarios are simulated. Afterwards, the present values of various instruments can be computed along the simulated paths. Finally, taking into account the development of present values and cash flows of the instruments along the simulated paths, a portfolio optimization can be performed and an optimal asset allocation can be determined.

Keywords: Credit Default Swap; Asset Return; Default Probability; Credit Spread; Short Rate (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-15609-0_9

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DOI: 10.1007/978-3-642-15609-0_9

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