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WSC
2004
14 years 25 days ago
Experimental Performance Evaluation of Histogram Approximation for Simulation Output Analysis
We summarize the results of an experimental performance evaluation of using an empirical histogram to approximate the steady-state distribution of the underlying stochastic proces...
E. Jack Chen, W. David Kelton
WSC
2004
14 years 25 days ago
Modeling and Simulation of Consumer Credit Originations Processes
Staffing decisions in a consumer credit origination environment have a significant impact on the financial institution's costs as well as customer service levels. Staff resou...
Hung-Nan Chen, Jihong Jin, Geetha Rajavelu, Charle...
WSC
2004
14 years 25 days ago
Simulation-Based Pricing of Mortgage-Backed Securities
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...
Jian Chen
WSC
2004
14 years 25 days ago
XML-Based Supply Chain Simulation Modeling
We describe a different approach to using XML to support the simulation modeling of supply chains. Instead of using XML to specify the simulation constructs, as most previous appr...
Dean C. Chatfield, Terry P. Harrison, Jack C. Hayy...
WSC
2004
14 years 25 days ago
On Using Monte Carlo Methods for Scheduling
Monte Carlo techniques have long been used (since Buffon's experiment to approximate the value of by tossing a needle onto striped paper) to analyze phenomena which, due to ...
Samarn Chantaravarapan, Ali K. Gunal, Edward J. Wi...
WSC
2004
14 years 25 days ago
Visualizing Coercible Simulations
The labor intensive aspects of simulation development and maintenance make exploration of reuse essential. However, reuse is generally difficult to achieve in practice due to infl...
Joseph C. Carnahan, Paul F. Reynolds Jr., David C....
WSC
2004
14 years 25 days ago
Calibrating Credit Portfolio Loss Distributions
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...
Menghui Cao, William J. Morokoff
WSC
2004
14 years 25 days ago
Portfolio Credit Risk Analysis Involving CDO Tranches
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
Menghui Cao, William J. Morokoff