Showing 1 - 10 of 2,321
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...
Persistent link: https://www.econbiz.de/10015259815
Abstract Given a risk outcome y over a rating system {R_i }_(i=1)^k for a portfolio, we show in this paper that the maximum likelihood estimates with monotonic constraints, when y is binary (the Bernoulli likelihood) or takes values in the interval 0≤y≤1 (the quasi-Bernoulli likelihood), are...
Persistent link: https://www.econbiz.de/10015263811
This article describes a valuation framework to build most common kinds of cancellation schedules and cancellation evens. The model can price generic cancellation derivatives accurately. It is very useful for derivatives trading and risk management.
Persistent link: https://www.econbiz.de/10015268372
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10015238799
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10015238821
In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...
Persistent link: https://www.econbiz.de/10015245144
volatility and structural breaks. Our results indicate that ignoring structural breaks in the loadings can be quite costly in …
Persistent link: https://www.econbiz.de/10015240496
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015243201
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015243989
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015244924