EconPapers    
Economics at your fingertips  
 

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

Zoltan Varsanyi ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: credit risk; simulation (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-ban, nep-cmp and nep-rmg
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/9918/1/MPRA_paper_9918.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/10022/1/MPRA_paper_10022.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9918

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2023-11-11
Handle: RePEc:pra:mprapa:9918