One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a "credit risk". Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

The authors introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a model for loss given default (LGD), second, they bring...

One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision of the European Union to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the...

We propose a dynamic structural model of credit risk of multiple loan portfolios. In line with Merton, Vasicek and Pykhtin, we assume that a loan defaults if the assets of the debtor fall below his liabilities, and that the subsequent loss given default is determined by the collateral value. For...

One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision of the European Union to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the...

We examine whether it is rational to put limit orders in a limit order market. We find that limit orders are not needed and may be even disadvantageous given that the agent trades on-line. Further, we present a numerical study indicating that putting limit orders may be optimal given that the...

In the paper, a thin market with an indivisible commodity, at which the market price is determined (by an organizer of the market) as the average price maximizing the traded volume, is modeled. Two models are presented - the first one with a finite, the second one with a possibly infinite number...