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A Multidimensional Framework for Risk Analysis
Fong, Gifford; Vasicek, Oldrich A. - In: Financial analysts' journal : FAJ 53 (1997) 4, pp. 51-57
Persistent link: https://www.econbiz.de/10006313399
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Loan portfolio value - Using a conditional independence framework, the author derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He...
Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 15 (2002) 12, pp. 160-162
Persistent link: https://www.econbiz.de/10007034848
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Commodities: Plugging into electricity - A new formalism for pricing derivatives and modelling spot price behaviour for non-storable commodities, such as electricity.
Geman, Hélyette; Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 14 (2001) 8, pp. 93-98
Persistent link: https://www.econbiz.de/10007042028
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The economics of interest rates
Vasicek, Oldrich Alfons - In: Journal of financial economics 76 (2005) 2, pp. 293-308
Persistent link: https://www.econbiz.de/10006501734
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General equilibrium with heterogeneous participants and discrete consumption times
Vasicek, Oldrich Alfons - In: Journal of financial economics 108 (2013) 3, pp. 608-614
Persistent link: https://www.econbiz.de/10010111283