Monte Carlo methods are simulation algorithms to estimate a numerical quantity in a statistical model of a real system. These algorithms are executed by computer programs. Variance reduction techniques (VRT) are needed, even though computer speed has been increasing dramatically, ever since the...

The intraclass correlation coefficient (ICC) in a two-way analysis of variance is a ratio involving three variance components. Two recently developed methods for constructing confidence intervals (CI’s) for the ICC are the Generalized Confidence Interval (GCI) and Modified Large Sample (MLS)...

We investigate the effects of certain simplifying assumptions that are often made when valuating tranches of collateralized debt obligations (CDOs) using a firm's value approach. Those assumptions are the homogeneity and largeness of the portfolio and the so-called European approximation. The...