WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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 ...
WSC
2004
13 years 9 months ago
2004
WSC
2004
13 years 9 months ago
2004
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...