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Search: subject:"stochastic cash flow"
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credit default swap
3
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3
direct convolution
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exposure at default
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future potential exposure
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collateralized debt obligation
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1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Ruin probability for stochastic flows of financial contract under phase-type distribution
Adékambi, Franck
;
Essiomle, Kokou
- In:
Risks
8
(
2020
)
2
,
pp. 1-21
occurs and (ii) an embedding of the
stochastic
cash
flow
or the reserves of the bank to the Sparre Andersen model. The exact …
Persistent link: https://www.econbiz.de/10013200587
Saved in:
2
Ruin probability for stochastic flows of financial contract under phase-type distribution
Adékambi, Franck
;
Essiomle, Kokou
- In:
Risks : open access journal
8
(
2020
)
2/53
,
pp. 1-21
occurs and (ii) an embedding of the
stochastic
cash
flow
or the reserves of the bank to the Sparre Andersen model. The exact …
Persistent link: https://www.econbiz.de/10012292887
Saved in:
3
CREDIT RISK TOOLS. AN OVERVIEW
ESPOSITO, Francesco P.
- In:
Theoretical and Practical Research in Economic Fields
II
(
2011
)
1
,
pp. 37-44
prices have been calculated. We finally design
stochastic
cash-flow
stream model simulations to test fair pricing, compute …
Persistent link: https://www.econbiz.de/10009653235
Saved in:
4
CREDIT RISK TOOLS: AN OVERVIEW
Esposito, Francesco P.
- In:
Journal of Advanced Studies in Finance
II
(
2011
)
1
,
pp. 18-25
have been calculated. We finally design
stochastic
cash-flow
stream model simulations to test fair pricing, compute credit …
Persistent link: https://www.econbiz.de/10009653256
Saved in:
5
Credit risk tools: an overview
Esposito, Francesco Paolo
-
Volkswirtschaftliche Fakultät, …
-
2010
have been calculated. We finally design
stochastic
cash-flow
stream model simulations to test fair pricing, compute credit …
Persistent link: https://www.econbiz.de/10008788796
Saved in:
6
Multi-period mean–variance portfolio selection with regime switching and a
stochastic
cash
flow
Wu, Huiling
;
Li, Zhongfei
- In:
Insurance: Mathematics and Economics
50
(
2012
)
3
,
pp. 371-384
–variance with Markov regime switching and a
stochastic
cash
flow
. The
stochastic
cash
flow
can be explained as capital additions or …
Persistent link: https://www.econbiz.de/10010576723
Saved in:
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