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Journal of the Operational Research Society Volume 61, 2010 - Issue 3: Special Issue
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Part 1: Consumer Credit Risk Modelling

Monte Carlo scenario generation for retail loan portfolios

J L BreedenStrategic Analytics Inc.Santa FeNew MexicoUSCorrespondence[email protected]
&
D IngramStrategic Analytics Inc.Santa FeNew MexicoUSCorrespondence[email protected]
Pages 399-410 | Received 01 Nov 2007, Accepted 01 Jun 2009, Published online: 21 Dec 2017

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Giovanni Margarido Righetto, Reinaldo Morabito & Douglas Alem. (2020) Cash flow management by risk-neutral and risk-averse stochastic approaches. Journal of the Operational Research Society 71:1, pages 55-68.
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Tony Bellotti & Jonathan Crook. (2013) Forecasting and stress testing credit card default using dynamic models. International Journal of Forecasting 29:4, pages 563-574.
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Yousra Tourki, Jeffrey Keisler & Igor Linkov. (2013) Scenario analysis: a review of methods and applications for engineering and environmental systems. Environment Systems & Decisions 33:1, pages 3-20.
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Joseph L. Breeden, Robert Parker & Carsten Steinebach. (2012) A through-the-cycle model for retail lending economic capital. International Journal of Forecasting 28:1, pages 133-138.
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