The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing...

Simulation has proved to be a valuable tool for estimating security prices for which simple closed form solutions do not exist. In this paper we present two direct methods, a pathwise method and a likelihood ratio method, for estimating derivatives of security prices using simulation. With the...

Effective management of inventories in large-scale production and distribution systems requires methods for bringing model solutions closer to the complexities of real systems. Motivated by this need, we develop simulation-based methods for estimating sensitivities of inventory costs with...

We consider the problem of precise estimation of service-level measures in multistage production-inventory systems when the system is managed for high levels of service. Precisely because the service level is high, stockouts, large backorders, and unfilled demands are rare and thus difficult to...

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a...

Common random numbers (CRN) is a widely-used technique for reducing variance in comparing stochastic systems through simulation. Its popularity derives from its intuitive appeal and ease of implementation. However, though CRN has been observed to work well with a broad range of models, the class...