One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...

We propose an efficient Monte Carlo algorithm for the off-lattice simulation of dense hard sphere polymer melts using cluster moves, called event chains, which allow for a rejection-free treatment of the excluded volume. Event chains also allow for an efficient preparation of initial configurations in polymer melts. We parallelize the event chain Monte Carlo algorithm to further increase simula...

background: recently, it has been indicated that x-ray coherent scatter from biological tissues can be used to access signature of tissue. some scientists are interested in studying this effect to get early detection of breast cancer. since experimental methods for optimization are time consuming and expensive, some scientists suggest using simulation. monte carlo (mc) codes are the best option...

One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results sh...

Performing a comprehensive sensitivity/uncertainty analysis is a valuable step in understanding and using a predictive hydrologic/water quality (H/WQ) model. This article applies one-factor-at-a-time (OAT) sensitivity analysis (SA) and first-order error analysis (FOEA)/Monte Carlo simulation with Latin hypercube sampling (LHS) uncertainty analysis techniques for evaluation of a complex, process...

We discuss a cluster Monte Carlo algorithm for lattice models, based on geometric transformations. We prove detailed balance when the transformation is self-inverse, and a symmetry of the Hamiltonian. This algorithm opens new possibilities, in particular for the efficient simulation of critical model systems, where the Metropolis method suffers from critical slowing down. We illustrate the gene...

In 1986, Swendsen and Wang proposed a replica Monte Carlo algorithm for spin glasses [Phys. Rev. Lett. 57 (1986) 2607]. Two important ingredients are present, (1) the use of a collection of systems (replicas) at different of temperatures, but with the same random couplings, (2) defining and flipping clusters. Exchange of information between the systems is facilitated by fixing the τ spin (τ = σ...

Many studies in econometric theory are supplemented by Monte Carlo simulation investigations. These illustrate the properties of alternative inference techniques when applied to samples drawn from mostly entirely synthetic data generating processes. They should provide information on how techniques, which may be sound asymptotically, perform in finite samples and then unveil the effects of mode...