Published January 16, 2023
| Version v1
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Credit Default Simulator
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Description
The credit default simulator is based on a simplified version credit risk methodology, extended to multiple periods. Beginning with a portfolio of assets, which are assumed to be in one-to-one correspondence with names, the model simulates a change in the value of the name for each period.
Notes
https://ia904702.us.archive.org/7/items/monte-carlo-bgm/MonteCarloBgm.pdf
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creditDefaultSimulator.pdf
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(122.1 kB)
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