Francisco Hawas

A NUMERICAL SIMULATION APPROACH TO

A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Banking systems are at the center of the financial infrastructure of any country.  It has become apparent after the subprime crisis that such systems cannot be studied by looking at their components individually (that is, in isolation).  Thus, an integrated approach is needed.
In this paper we introduce [...]

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ON THE ACTUAL BEHAVIOR

On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios

We apply an analytical approach to analyze two credit-derivative investments: (i) a synthetic index linked to high-yield corporates; and (ii) an actual transaction based on mortgage bonds. We show that the conventional approach to analyze these structures (Monte Carlo simulations combined with the Gaussian copula) fails [...]

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