Showing 1 - 10 of 62
In this paper we consider the valuation of total return swaps (TRS). Since a total return swap is a collateralized derivative referencing the value process of an uncollateralized asset it is in general not possible that both counter parties agree on a unique value. Consequently it is not...
Persistent link: https://www.econbiz.de/10013006389
We consider the valuation and risk management of derivatives on defaultable assets such as bonds taking into account funding (FVA), cash collateral, underlying default, counterparty default (CVA) and default correlation using joint default poisson process. The framework can be considered as an...
Persistent link: https://www.econbiz.de/10013024060
We use a supervised deep convolution neural network to replicate the calibration of the Heston model to equity volatility surfaces. For this purpose we treat the implied volatility surface together with some auxiliary data, namely the strikes and moneyness of the corresponding options and the...
Persistent link: https://www.econbiz.de/10014111236
Value at Risk (VaR) and stressed value at Risk (SVaR) or expected shortfall are important risk measures widely used in the financial services industry for risk management and market risk capital computation. Fundamental to any (S)VaR model is the choice of the return type model for each risk...
Persistent link: https://www.econbiz.de/10012943630
This paper investigates the fair share of GDP required to mitigate climate change costs, using an extended DICE model. A dedicated fund, supplied annually by a fixed fraction of GDP, is introduced to cover abatement and damage costs. Numerical analysis reveals that a funding rate of 2.4% of GDP...
Persistent link: https://www.econbiz.de/10015214632
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10015221876
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10015221965
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10008530717
This note discusses a framework for handling objects of a given object oriented library through spreadsheet functions. We first describe the simple and natural representation of object references through strings (object handles). A small set of spreadsheet functions then allows object...
Persistent link: https://www.econbiz.de/10014213891
In this short note we derive an exact simulation scheme for the joint distribution of (r(t),N(t)), where r denotes the short rate following a Hull-White model and $N$ denotes the numeraire.To sample the correct joint distribution of (r(t),N(t)) our scheme requires a two-factor Brownian driver....
Persistent link: https://www.econbiz.de/10012998214