We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability of infringement of regulatory capital ratios and default probability. The stochastic methodology proposed is based on a simplified reduced model that provides a manageable...

In this paper we present a method for calculating the entire hedge surface of a derivative who’s future underlying asset has been simulated by a market simulator for example with the Monte Carlo method. Our method is built from work on penalized filtering techniques and is applied on a grid of...

American Monte Carlo is a solution to the puzzle of calculating the value of derivatives with the right to an early exercise, when using Monte Carlo simulation. One of the technique uses regression of some suitable basis functions, which is a bit arbitrary, and could if made wrong render in...

The effective management of uncertainty and complexity in premium pricing and reserve accumulation processes provide new challenges to the decision- and policy- makers. In this regard, the implementation of complex mathematical tools and advanced statistical techniques is highly acquired. Over...

We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy, financial fragility and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is...

In the Input-Output Analytic framework, production (X) is related to final demand (C) through the B [while B= INV(I-A), where A is the technical coefficients matrix and INV(.) means inverted (.)], such that X=BC. Generally, the elements of A and C are considered to be non-stochastic and...

Recently, Batabyal and Yoo (2007) have proposed a new probabilistic approach to orchard management. In this approach, a manager minimizes an economic criterion function, namely, the long run expected net cost of orchard management subject to an ecological constraint which says that the...

Actions taken by a manager affect the health of the keystone species of an ecological-economic system. In turn, the health of these keystone species largely determines the resilience of the underlying ecological-economic system. What are the nexuses between managerial actions, keystone species,...

Recently, Batabyal and Yoo (2007) have proposed a new probabilistic approach to orchard management. In this approach, a manager minimizes an economic criterion function, namely, the long run expected net cost of orchard management subject to an ecological constraint which says that the...

Actions taken by a manager affect the health of the keystone species of an ecological-economic system. In turn, the health of these keystone species largely determines the resilience of the underlying ecological-economic system. What are the nexuses between managerial actions, keystone species,...