Relevant bibliographies by topics / Carlo Cresti

Academic literature on the topic 'Carlo Cresti'

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Published: 10 March 2023

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Journal articles on the topic "Carlo Cresti"

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MINIATI, MARA. "AttidelConvegno diStudi «Architettura militare nell'Europa delXVI secolo» Firenze,25-28Novembre1986, a cura di Carlo Cresti, Amelio Fara, Daniela Lamberini. Siena, Edizioni Periccioli 1988, 448 pp." Nuncius 5, no. 1 (1990): 316–17. http://dx.doi.org/10.1163/182539190x01029.

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Adams, Nicholas. "Review: La Rocca Paolina un falso d'autore by Paolo Camerieri, Fabio Palombaro; Bernardo Buontalenti: L'architettura, la guerra, e l'elemento geometrico by Amelio Fara; Atti del Convegno di Studi: Architettura militare nell'Europa del XVI secolo by Carlo Cresti, Amelio Fara, Daniela Lamberini; L'architettura militare veneta del Cinquecento by Daniela Lamberini, Sergio Polano." Journal of the Society of Architectural Historians 50, no. 1 (March 1, 1991): 75–78. http://dx.doi.org/10.2307/990550.

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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Finance and Economics Discussion Series 2014, no. 114 (2014): 1–42. http://dx.doi.org/10.17016/feds.2014.114.

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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Journal of Credit Risk 10, no. 3 (September 2014): 87–133. http://dx.doi.org/10.21314/jcr.2014.179.

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Chen, Zhiyong, and Paul Glasserman. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo." Finance and Stochastics 12, no. 4 (August 14, 2008): 507–40. http://dx.doi.org/10.1007/s00780-008-0071-y.

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Hong, L. Jeff, Sandeep Juneja, and Jun Luo. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo." INFORMS Journal on Computing 26, no. 4 (November 2014): 848–65. http://dx.doi.org/10.1287/ijoc.2014.0602.

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Jo�ã, N. A., o. Luiz Chela, Luiz Leduíno De Salles Neto, and Renan Brito Butkeraites. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.098924.

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Butkeraites, Renan Brito, Jo�ão Luiz Chela, and Luiz Leduíno De Salles Neto. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.10020335.

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Smallman, Shawn C. "Shady Business: Corruption in the Brazilian Army before 1954." Latin American Research Review 32, no. 3 (1997): 39–62. http://dx.doi.org/10.1017/s0023879100038036.

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An enduring paradox lies at the heart of Brazilian politics. The Brazilian Army has long suffered from corruption at the highest levels so extreme as to create disquiet throughout the institution. Yet the Brazilian military, like other armed forces in Latin America, has justified its involvement in politics and society by accusing civilians of corruption. Despite repeated revelations of military corruption, soldiers and civilians as well have sometimes accepted the armed forces' use of this moral discourse. For example, an anonymous businessman wrote General Pedro Aurélio de Góes Monteiro on 30 November 1954: “The country is on the brink of financial and economic ruin. This state of things is the result of the abuses of past governments and of the deceased President Vargas and the generalized corruption. … The only solution for the reestablishment of confidence in the exterior would be the delivery of the government to a military dictatorship” (emphasis in the original).2 Thirty years later, at the close of authoritarian rule in Brazil, a daring journalist named Carlos Alberto de Carli exposed rampant corruption within the military's intelligence services. Yet Carli himself dedicated his book in part to “the armed forces—the moral reserves of our people” (cover page, Carli 1985).
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Annalisa, Di Clemente. "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing." STUDI ECONOMICI, no. 104 (January 2012): 5–28. http://dx.doi.org/10.3280/ste2011-104001.

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This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount, taking into account the portfolio credit risk mitigation effect provided by the credit securitisation process. This study identifies the credit asset pool able to produce the larger effect of credit risk reduction on the loan portfolio, when the asset pool is unloaded off the banking book. Moreover, this simulation analysis quantifies the extent of the portfolio credit risk mitigation, produced by the securitisation process of the asset pool previously identified. The impact of the securitisation activity has been also investigated when the probability of default and the asset return correlation of the obligors in portfolio are changing.
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Dissertations / Theses on the topic "Carlo Cresti"

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Johansson, Sam. "Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252566.

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In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. In combination with Monte Carlo simulation, the variance reduction technique importance sampling is used in an attempt to make the simulations more efficient. Importance sampling is used for simulation of both the asset price and, for CVA (Credit Valuation Adjustment) estimation, the default time. CVA is simulated for both European and Bermudan options. It is shown that a significant variance reduction can be achieved by utilizing importance sampling for asset price simulations. It is also shown that a significant variance reduction for CVA simulation can be achieved for counterparties with small default probabilities by employing importance sampling for the default times. This holds for both European and Bermudan options. Furthermore, the regression based method least squares Monte Carlo is used to estimate the price of a Bermudan option, resulting in CVA estimates that lie within an interval of feasible values. Finally, some topics of further research are suggested.
I denna rapport undersöks Monte Carlo-simuleringar för motpartskreditrisk. En jump-diffusion-modell, Bates modell, används för att beskriva prisprocessen hos en tillgång, och sannolikheten att motparten drabbas av insolvens beskrivs av en stokastisk intensitetsmodell med konstant intensitet. Tillsammans med Monte Carlo-simuleringar används variansreduktionstekinken importance sampling i ett försök att effektivisera simuleringarna. Importance sampling används för simulering av både tillgångens pris och, för estimering av CVA (Credit Valuation Adjustment), tidpunkten för insolvens. CVA simuleras för både europeiska optioner och Bermuda-optioner. Det visas att en signifikant variansreduktion kan uppnås genom att använda importance sampling för simuleringen av tillgångens pris. Det visas även att en signifikant variansreduktion för CVA-simulering kan uppnås för motparter med små sannolikheter att drabbas av insolvens genom att använda importance sampling för simulering av tidpunkter för insolvens. Detta gäller både europeiska optioner och Bermuda-optioner. Vidare, används regressionsmetoden least squares Monte Carlo för att estimera priset av en Bermuda-option, vilket resulterar i CVA-estimat som ligger inom ett intervall av rimliga värden. Slutligen föreslås några ämnen för ytterligare forskning.
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Kolman, Marek. "Portfolio Credit Risk Modeling." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75474.

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Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strengths/drawbacks of every scrutinized model. Subsequently, in the applied part we test the models in a lab-environment but with real-world market data. Noticeable stress is also put on model calibration. This enables us to con firm/reject the assumptions we made in the theoretical part. In the very end there follows a straightforward general overview of all outputs and a conclusion.
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Järnberg, Emelie. "Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-197322.

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In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. The probability of default and the default time are simulated using Monte Carlo and the number of scenarios needed to obtain convergence in the simulations is investigated. The simulations are performed using the probability matrix method (PMM), which means that a transition probability matrix describing the process is created and used for the simulations. Besides this, two variance reduction techniques are investigated; importance sampling and antithetic variates.
I den här uppsatsen modelleras kreditvärdigheten hos ett företag med hjälp av en stokastisk process. Två kreditmodeller betraktas; Merton's modell, som modellerar värdet av ett företags tillgångar med geometrisk Brownsk rörelse, och "distance to default", som drivs av en två-dimensionell stokastisk process med både diffusion och hopp. Sannolikheten för konkurs och den förväntade tidpunkten för konkurs simuleras med hjälp av Monte Carlo och antalet scenarion som behövs för konvergens i simuleringarna undersöks. Vid simuleringen används metoden "probability matrix method", där en övergångssannolikhetsmatris som beskriver processen används. Dessutom undersöks två metoder för variansreducering; viktad simulering (importance sampling) och antitetiska variabler (antithetic variates).
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Sauter, Dawn Adell. "Estimating swap credit risk : significance of the volatility input using Monte-Carlo simulation /." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/.

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Neier, Mark. "Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation." Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2308.

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Liu, Xinjia. "Pricing of multi-name credit derivatives using copulas." Worcester, Mass. : Worcester Polytechnic Institute, 2008. http://www.wpi.edu/Pubs/ETD/Available/etd-010808-160914/.

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Professional Master's Project in partial fulfillment of the requirements for the degree of Master of Science (M.S.)--Worcester Polytechnic Institute.
Keywords: first-to-default baskets; multi-name credit derivatives; copula functions. Includes bibliographical references (leaf 29 ).
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Wendin, Jonathan Erik Purvis. "Bayesian methods in portfolio credit risk management." Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.

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BRIGNONE, RICCARDO. "Moment based approximations for arithmetic averages with applications in derivative pricing, credit risk and Monte Carlo simulation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/262926.

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In questa tesi consideriamo tre diversi problemi finanziari la cui soluzione è correlata alla media aritmetica di alcuni processi stocastici “mean-reverting”, la cui distribuzione è sconosciuta, impedendo calcoli espliciti ed esatti. Proponiamo approssimazioni basate sui momenti ed esaminiamo le applicazioni nell’ambito del pricing di derivati esotici, rischio di credito e simulazione Monte Carlo e dimostriamo che questo tipo di soluzione può essere molto utile in quanto in grado di ridurre il costo computazionale rispetto a metodi numerici alternativi, che sono usati come benchmark in questo lavoro. Il primo capitolo di questa tesi è dedicato a fornire un background teorico sulle approssimazioni basate sui momenti, inclusi alcuni fatti di base sul cosiddetto moment-problem, tecniche di approssimazioni comuni, insieme a una revisione della letteratura sull'uso dei momenti in finanza e illustrazioni numeriche. Nel secondo capitolo, proponiamo formule di approssimazione precise basate sui momenti per il prezzo delle opzioni asiatiche nel caso in cui il prezzo del sottostante sia un processo stocastico mean-reverting (con salti). Nel terzo capitolo introduciamo una metodologia efficiente, basata su moment matching, per la calibrazione dell'intensità di default, che è modellata attraverso un processo esponenziale di Ornstein-Uhlenbeck e applichiamo questo risultato al calcolo del Credit Value Adjustment (CVA) in presenza di Wrong Way Risk, nell’ambito di derivati sui tassi di interesse. Nel quarto capitolo, consideriamo il problema della simulazione dei modelli di volatilità stocastica. In letteratura sono stati proposti schemi di simulazione esatta per vari modelli, ma sono inefficienti dal punto di vista computazionale a causa della loro dipendenza dall'integrale del processo della varianza, che si presume generalmente sia mean reverting e la cui distribuzione è sconosciuta. In questo caso, mostriamo come calcolare i momenti di tale distribuzione sconosciuta e sviluppiamo una nuova metodologia di simulazione che risulta essere molto più veloce, dal punto di vista computazionale, rispetto agli schemi esatti, per un livello di precisione simile. Il capitolo finale è diverso dagli altri poiché i momenti trovano solo un'applicazione marginale. Consideriamo un modello “double exponential jump-diffusion” in cui l'intensità dei salti è un processo stocastico di tipo Hawkes. Questo tipo di dinamica è stata introdotta in letteratura al fine di modellare il fenomeno del “jump clustering”, ampiamente osservato nei mercati finanziari e delle materie prime. Deriviamo la funzione caratteristica dell'integrale dei log-rendimenti e troviamo formula per il pricing di opzioni asiatiche geometriche sotto tale modello.
In this thesis we consider three different financial problems whose solution is related to the arithmetic average of some mean reverting stochastic process, whose distribution is unknown, precluding explicit and exact computations. We propose moment based approximations and examine applications in exotic derivatives pricing, credit risk and Monte Carlo simulation and show that this kind of solution can be very useful as able to reduce the computational cost with respect to alternative numerical methods, which are used as benchmark throughout this work. The first chapter of this thesis is devoted to provide some theoretical background on moment based approximations, including some basic facts on the so-called \textit{moment problem}, common approximations techniques, together with a literature review on the usage of moments in finance and numerical illustrations. In the second chapter, we propose accurate moment based approximation formulas for the price of Asian options in the case where the underlying's price is a mean reverting (with jumps) stochastic process. In the third chapter we introduce an efficient methodology, based on moment matching, for the calibration of the default intensity, which is modeled through an exponential Ornstein-Uhlenbeck process and apply this result to the calculation of Credit Value Adjustment (CVA) in presence of wrong way risk for interest rates derivatives. In the fourth chapter, we consider the problem of simulating stochastic volatility models. Exact simulation schemes have been proposed in literature for various models, but are computationally inefficient due to their dependence on the integral of the variance process, which is generally assumed to be mean reverting and whose distribution is unknown. In this case, we show how to compute the moments of such unknown distribution and develop a new simulation methodology which turns out to be much faster, from a computational point of view, than exact schemes, for a similar level of accuracy. The final chapter is different from the others as moments find only marginal application. We consider a double exponential jump diffusion model where the jump intensity is a stochastic process of Hawkes type. This kind of dynamics has been introduced in literature in order to model jump clustering phenomenon, widely observed in financial and commodity markets. We derive the characteristic function of the integral of log-returns and price geometric Asian options under such model.
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Chong, Keng Shin. "Effects of short crested seas on the motions of a trolley interface for ship-to-ship cargo transfer." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2003. http://library.nps.navy.mil/uhtbin/hyperion-image/03Mar%5FChong.pdf.

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Lundström, Love, and Oscar Öhman. "Backtesting of simulated method for Counterparty Credit Risk." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.

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After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.
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Books on the topic "Carlo Cresti"

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Accademia delle arti del disegno (Florence, Italy), ed. Carlo Cresti: Geometria creativa, pittura/architettura. Firenze: A. Pontecorboli, 2011.

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Le architetture di Carlo Cresti: Scritti e progetti. Firenze: Angelo Pontecorboli, 2011.

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Hágase cargo: Qué hacer si le roban su identidad. Washington, D.C.]: Comisión Federal de Comercio, 2012.

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Bankston, John. Fray Juan Crespi. Hockessin, Del: Mitchell Lane Publishers, 2004.

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Carlos V y el crédito de Castilla: El tesorero general Francisco de Vargas y la Hacienda Real entre 1516 y 1524. Madrid: Sociedad Estatal para la Conmemoración de los Centenarios de Felipe II y Carlos V, 2000.

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United, States Congress Senate Committee on Commerce Science and Transportation. Application of cargo preference laws relating to the exportation of U.S. agricultural commodities: Report together with minority views (to accompany S. 721). [Washington, D.C.?: U.S. G.P.O., 1985.

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United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry. Clarifying the application of the cargo preference laws to the exportation of United States agricultural commodities: Report (to accompany S. 721). [Washington, D.C.?: U.S. G.P.O., 1985.

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United, States Congress Senate Committee on Commerce Science and Transportation Subcommittee on Merchant Marine. Cargo preference laws: Hearing before the Subcommittee on Merchant Marine of the Committee on Commerce, Science, and Transportation, United States Senate, Ninety-ninth Congress, first session, on S. 664, to facilitate the competitiveness of exports of United States agricultural commodities, May 6, 1985. Washington: U.S. G.P.O., 1985.

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Bagnoli, Carlo, and Eleonora Masiero. L’impresa significante fra tradizione e innovazione. Venice: Fondazione Università Ca’ Foscari, 2021. http://dx.doi.org/10.30687/978-88-6969-572-8.

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This study explores the idea of a significant business, framing it through the key concepts that define it and illustrating it through a case study that narrates the evolution of a century-old company. Born as an intellectual response to the economic and financial crisis of 2008, the significant business is conceived as an entity capable of enduring over time through the creation of value and its distribution within the community in which it operates. The significant business should be also aware of its own identity and of the need to innovate itself over time considering the synergies and the collaborations that the territory offers, to continue to create wealth. This contribution is part of a series of works that, resulting from numerous action-research projects coordinated by Professor Carlo Bagnoli, have seen as protagonists the companies and their strategic innovation. The starting point of many of these projects is the Manifesto of the Significant Company (Bagnoli et al. 2015), which aims at imagining a business model able to explore and innovate the company to increase its competitiveness, and also to restore meaning to the company itself, through the definition of its own identity. Contributing to previous works, this book explores the idea of significant enterprise by adopting a business and a historical perspective. The first part of the book deals with the business perspective, to introduce the value model commonly used in action research studies undertaken by the spin-off Strategy Innovation of Ca’ Foscari University of Venice, and to describe the specific model of a significant business. The second part of the book narrates the story of a centuries-long business, Barovier&Toso, exploring its evolutions. Focusing on the different perspectives that shaped the key concepts and narrating the path followed by a centenary company, this work hopes to shed further light on this fascinating theme together with the reader.
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Domanowska, Eulalia. "O potrzebie tworzenia widzeń", 1929-2017: Elias Crespin, Carlos Cruz-Diez, Wojciech Fangor, Paweł Grobelny, Mikołaj Grospierre, Bethan Huws, Kimsooja, Michał Martychowiec, László Moholy-Nagy, Jesús Rafael Soto, Franciszka i/and Stefan Themerson, Ludwig Wilding, Chi-Tsung Wu, Lin Yi = "The urge to create visions". Orońsko: Centrum Rzeźby Polskiej w Orońsku, 2017.

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Book chapters on the topic "Carlo Cresti"

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Bolder, David Jamieson. "Monte Carlo Methods." In Credit-Risk Modelling, 429–87. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-94688-7_8.

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Brereton, Tim J., Dirk P. Kroese, and Joshua C. Chan. "Monte Carlo Methods for Portfolio Credit Risk." In Credit Securitizations and Derivatives, 127–52. Chichester, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118818503.ch7.

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Lichters, Roland, Roland Stamm, and Donal Gallagher. "Introduction — A Monte Carlo Framework." In Modern Derivatives Pricing and Credit Exposure Analysis, 105–6. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137494849_10.

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Lichters, Roland, Roland Stamm, and Donal Gallagher. "Early Exercise and American Monte Carlo." In Modern Derivatives Pricing and Credit Exposure Analysis, 267–73. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137494849_18.

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Crépey, Stéphane, and Tuyet Mai Nguyen. "Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives." In Innovations in Derivatives Markets, 53–82. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33446-2_3.

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Picciaredda, Stefano. "Neutral Switzerland: The Hospitalization of the Wounded and the Credit Owed to Carlo Santucci." In Benedict XV: A Pope in the World of the 'Useless Slaughter' (1914-1918), 479–99. Turnhout, Belgium: Brepols Publishers, 2020. http://dx.doi.org/10.1484/m.str-eb.5.118787.

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Gmür, David. "Mehr Sicherheit mit zentraler Bankenaufsicht." In Die Wirtschaft im Wandel, 53–57. Wiesbaden: Springer Fachmedien Wiesbaden, 2021. http://dx.doi.org/10.1007/978-3-658-31735-5_9.

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ZusammenfassungDie Wirtschaft braucht Kredit, und die Gesellschaft mehr Sicherheit. Die Banken müssen in der Kreditvergabe auf Ertrag und Risiko gleichzeitig achten. Damit die Regulierung effektiven Schutz bieten kann, muss die Bankenaufsicht die Einhaltung der Vorschriften überwachen und frühzeitig das Entstehen übermässiger Risiken aufdecken. In der Bankenunion kann eine zentrale Aufsicht eher für gleich lange Spiesse im europaweiten Wettbewerb der Banken sorgen, kann unabhängiger als nationale Aufsichtsbehörden agieren, und dank besserer Ressourcen auch komplexe Grossbanken wirksam beaufsichtigen. So wird die Kreditvergabe sicherer, indem die Banken angehalten sind, faule und riskante Kredite zügig abzubauen und mehr Kredit auf die produktiveren Unternehmen mit besseren Aussichten lenken.Christian Keuschnigg und Michael Kogler, Herausgeber.Altavilla, Carlo, Miguel Boucinha, José-Luis Peydró, und Frank Smets (2020), Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers, CEPR Discussion Paper Nr. 14288.
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Fang, Victor, and Vincent C. S. Lee. "Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach." In Lecture Notes in Computer Science, 780–87. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-28651-6_116.

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McLennan, Rachael. "“We Cannot Create”: The Limits of History in Joyce Carol Oates’s The Accursed." In 21st Century US Historical Fiction, 95–110. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-41897-7_6.

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Tsviliuk, Olena, Roderick Melnik, and Di Zhang. "Evolutionary Monte Carlo Based Techniques for First Passage Time Problems in Credit Risk and Other Applications in Finance." In Applications of Evolutionary Computation, 232–41. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-12242-2_24.

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Conference papers on the topic "Carlo Cresti"

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Thomas, David B., and Wayne Luk. "Credit Risk Modelling using Hardware Accelerated Monte-Carlo Simulation." In 2008 16th International Symposium on Field-Programmable Custom Computing Machines (FCCM). IEEE, 2008. http://dx.doi.org/10.1109/fccm.2008.41.

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Kaganov, Alexander, Paul Chow, and Asif Lakhany. "FPGA acceleration of Monte-Carlo based credit derivative pricing." In 2008 International Conference on Field Programmable Logic and Applications (FPL). IEEE, 2008. http://dx.doi.org/10.1109/fpl.2008.4629953.

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Blanchet, Jose H., Jingchen Liu, and Xuan Yang. "Monte Carlo for large credit portfolios with potentially high correlations." In 2010 Winter Simulation Conference - (WSC 2010). IEEE, 2010. http://dx.doi.org/10.1109/wsc.2010.5678976.

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Kong, Xiangyu, Kai Cui, and Hongjie Jia. "Capacity Credit Evaluation of Wind Power with Sequential Monte Carlo Method." In 2010 International Conference on E-Product E-Service and E-Entertainment (ICEEE 2010). IEEE, 2010. http://dx.doi.org/10.1109/iceee.2010.5661295.

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Sinan, Du, Zhou Rongxi, Wang Xianliang, and Wang Yongchao. "Pricing credit spread option with Kalman filter and Monte Carlo simulation." In 2013 25th Chinese Control and Decision Conference (CCDC). IEEE, 2013. http://dx.doi.org/10.1109/ccdc.2013.6561700.

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Dunkel, Jorn, and Stefan Weber. "Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models." In 2007 Winter Simulation Conference. IEEE, 2007. http://dx.doi.org/10.1109/wsc.2007.4419692.

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Yang, Jiajian, Yuan Gao, Suoju He, Xiao Liu, Yiwen Fu, Yang Chen, and Donglin Ji. "To Create Intelligent Adaptive Game Opponent by Using Monte-Carlo for Tree Search." In 2009 Fifth International Conference on Natural Computation. IEEE, 2009. http://dx.doi.org/10.1109/icnc.2009.710.

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Prevosto, Marc, and Barbara Bouffandeau. "Probability of Occurrence of a “Giant” Wave Crest." In ASME 2002 21st International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2002. http://dx.doi.org/10.1115/omae2002-28446.

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Abstract:
On January the 1st 1995, a “giant” wave is observed and measured at the Draupner platform in the North Sea. During a sea state with a significant wave height close to 12 meters, the crest of this isolated wave reached 18.5 meters. The question has been often asked if the physics governing such a wave differ from the physics governing the population of typical waves. Before responding more precisely to this question a first step is to use as accurately as possible, in such extreme situations, the physics governing the typical waves. One of the methodologies to furnish statistics of crest height for individual sea states starting from spectral information is based on Monte Carlo techniques. These techniques ask for the simulation of a very large population to estimate accurately the probability of occurrence of extreme events. As an example, in the sea state conditions of the “Draupner wave”, and using a linear irregular wave model, 40,000,000 simulated waves are necessary to calculate accurately the sea state conditional probability of occurrence of crests higher than 14.6 meters. In this context the more complex reasonably usable model is the irregular second order 3D wave model. In this paper we show how more complicated models (and so more time consuming simulators) can be used without loss in the accuracy of the estimation of the probability of occurrence. In that way, Creamer transform is used which gives the Draupner “giant” crest, 10 times more probable than given by second order models.
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Hennebach, M., and H. Kühl. "Monte Carlo calculations of the REBUS critical experiment for validation of burn-up credit." In International Conference on Nuclear Data for Science and Technology. Les Ulis, France: EDP Sciences, 2007. http://dx.doi.org/10.1051/ndata:07581.

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Shuo Zhang, Gengyin Li, and Ming Zhou. "Calculation and analysis of capacity credit of wind farms based on Monte-Carlo simulation." In Energy Society General Meeting. IEEE, 2010. http://dx.doi.org/10.1109/pes.2010.5589289.

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Reports on the topic "Carlo Cresti"

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Monetary Policy Report - July 2022. Banco de la República, October 2022. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr3-2022.

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In the second quarter, annual inflation (9.67%), the technical staff’s projections and its expectations continued to increase, remaining above the target. International cost shocks, accentuated by Russia's invasion of Ukraine, have been more persistent than projected, thus contributing to higher inflation. The effects of indexation, higher than estimated excess demand, a tighter labor market, inflation expectations that continue to rise and currently exceed 3%, and the exchange rate pressures add to those described above. High core inflation measures as well as in the producer price index (PPI) across all baskets confirm a significant spread in price increases. Compared to estimates presented in April, the new forecast trajectory for headline and core inflation increased. This was partly the result of greater exchange rate pressure on prices, and a larger output gap, which is expected to remain positive for the remainder of 2022 and which is estimated to close towards yearend 2023. In addition, these trends take into account higher inflation rate indexation, more persistent above-target inflation expectations, a quickening of domestic fuel price increases due to the correction of lags versus the parity price and higher international oil price forecasts. The forecast supposes a good domestic supply of perishable foods, although it also considers that international prices of processed foods will remain high. In terms of the goods sub-basket, the end of the national health emergency implies a reversal of the value-added tax (VAT) refund applied to health and personal hygiene products, resulting in increases in the prices of these goods. Alternatively, the monetary policy adjustment process and the moderation of external shocks would help inflation and its expectations to begin to decrease over time and resume their alignment with the target. Thus, the new projection suggests that inflation could remain high for the second half of 2022, closing at 9.7%. However, it would begin to fall during 2023, closing the year at 5.7%. These forecasts are subject to significant uncertainty, especially regarding the future behavior of external cost shocks, the degree of indexation of nominal contracts and decisions made regarding the domestic price of fuels. Economic activity continues to outperform expectations, and the technical staff’s growth projections for 2022 have been revised upwards from 5% to 6.9%. The new forecasts suggest higher output levels that would continue to exceed the economy’s productive capacity for the remainder of 2022. Economic growth during the first quarter was above that estimated in April, while economic activity indicators for the second quarter suggest that the GDP could be expected to remain high, potentially above that of the first quarter. Domestic demand is expected to maintain a positive dynamic, in particular, due to the household consumption quarterly growth, as suggested by vehicle registrations, retail sales, credit card purchases and consumer loan disbursement figures. A slowdown in the machinery and equipment imports from the levels observed in March contrasts with the positive performance of sales and housing construction licenses, which indicates an investment level similar to that registered for the first three months of the year. International trade data suggests the trade deficit would be reduced as a consequence of import levels that would be lesser than those observed in the first quarter, and stable export levels. For the remainder of the year and 2023, a deceleration in consumption is expected from the high levels seen during the first half of the year, partially as a result of lower repressed demand, tighter domestic financial conditions and household available income deterioration due to increased inflation. Investment is expected to continue its slow recovery while remaining below pre-pandemic levels. The trade deficit is expected to tighten due to projected lower domestic demand dynamics, and high prices of oil and other basic goods exported by the country. Given the above, economic growth in the second quarter of 2022 would be 11.5%, and for 2022 and 2023 an annual growth of 6.9% and 1.1% is expected, respectively. Currently, and for the remainder of 2022, the output gap would be positive and greater than that estimated in April, and prices would be affected by demand pressures. These projections continue to be affected by significant uncertainty associated with global political tensions, the expected adjustment of monetary policy in developed countries, external demand behavior, changes in country risk outlook, and the future developments in domestic fiscal policy, among others. The high inflation levels and respective expectations, which exceed the target of the world's main central banks, largely explain the observed and anticipated increase in their monetary policy interest rates. This environment has tempered the growth forecast for external demand. Disruptions in value chains, rising international food and energy prices, and expansionary monetary and fiscal policies have contributed to the rise in inflation and above-target expectations seen by several of Colombia’s main trading partners. These cost and price shocks, heightened by the effects of Russia's invasion of Ukraine, have been more prevalent than expected and have taken place within a set of output and employment recovery, variables that in some countries currently equal or exceed their projected long-term levels. In response, the U.S. Federal Reserve accelerated the pace of the benchmark interest rate increase and rapidly reduced liquidity levels in the money market. Financial market actors expect this behavior to continue and, consequently, significantly increase their expectations of the average path of the Fed's benchmark interest rate. In this setting, the U.S. dollar appreciated versus the peso in the second quarter and emerging market risk measures increased, a behavior that intensified for Colombia. Given the aforementioned, for the remainder of 2022 and 2023, the Bank's technical staff increased the forecast trajectory for the Fed's interest rate and reduced the country's external demand growth forecast. The projected oil price was revised upward over the forecast horizon, specifically due to greater supply restrictions and the interruption of hydrocarbon trade between the European Union and Russia. Global geopolitical tensions, a tightening of monetary policy in developed economies, the increase in risk perception for emerging markets and the macroeconomic imbalances in the country explain the increase in the projected trajectory of the risk premium, its trend level and the neutral real interest rate1. Uncertainty about external forecasts and their consequent impact on the country's macroeconomic scenario remains high, given the unpredictable evolution of the conflict between Russia and Ukraine, geopolitical tensions, the degree of the global economic slowdown and the effect the response to recent outbreaks of the pandemic in some Asian countries may have on the world economy. This macroeconomic scenario that includes high inflation, inflation forecasts, and expectations above 3% and a positive output gap suggests the need for a contractionary monetary policy that mitigates the risk of the persistent unanchoring of inflation expectations. In contrast to the forecasts of the April report, the increase in the risk premium trend implies a higher neutral real interest rate and a greater prevailing monetary stimulus than previously estimated. For its part, domestic demand has been more dynamic, with a higher observed and expected output level that exceeds the economy’s productive capacity. The surprising accelerations in the headline and core inflation reflect stronger and more persistent external shocks, which, in combination with the strength of aggregate demand, indexation, higher inflation expectations and exchange rate pressures, explain the upward projected inflation trajectory at levels that exceed the target over the next two years. This is corroborated by the inflation expectations of economic analysts and those derived from the public debt market, which continued to climb and currently exceed 3%. All of the above increase the risk of unanchoring inflation expectations and could generate widespread indexation processes that may push inflation away from the target for longer. This new macroeconomic scenario suggests that the interest rate adjustment should continue towards a contractionary monetary policy landscape. 1.2. Monetary policy decision Banco de la República’s Board of Directors (BDBR), at its meetings in June and July 2022, decided to continue adjusting its monetary policy. At its June meeting, the BDBR decided to increase the monetary policy rate by 150 basis points (b.p.) and its July meeting by majority vote, on a 150 b.p. increase thereof at its July meeting. Consequently, the monetary policy interest rate currently stands at 9.0% . 1 The neutral real interest rate refers to the real interest rate level that is neither stimulative nor contractionary for aggregate demand and, therefore, does not generate pressures that lead to the close of the output gap. In a small, open economy like Colombia, this rate depends on the external neutral real interest rate, medium-term components of the country risk premium, and expected depreciation. Box 1: A Weekly Indicator of Economic Activity for Colombia Juan Pablo Cote Carlos Daniel Rojas Nicol Rodriguez Box 2: Common Inflationary Trends in Colombia Carlos D. Rojas-Martínez Nicolás Martínez-Cortés Franky Juliano Galeano-Ramírez Box 3: Shock Decomposition of 2021 Forecast Errors Nicolás Moreno Arias
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