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...

We propose a dynamic structural model of a loan portfolio, secured by collaterals. Contrary to existing dynamic models, our model takes into account the time-dependence of the debtors' wealth and the fact that, due to defaults, the financial health within the portfolio improves in comparison to...

We introduce a theoretical tool for handling pure-jump processes taking values in complex spaces. We generalize the notion of rate kernels for the non-Markov case, being able to describe any pure-jump process in Borel space with absolutely continuous conditional distribution of jump times. We...

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 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...

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 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...