Showing 1 - 10 of 58
Persistent link: https://www.econbiz.de/10000910433
Persistent link: https://www.econbiz.de/10000929725
Persistent link: https://www.econbiz.de/10001486694
Persistent link: https://www.econbiz.de/10000927898
Persistent link: https://www.econbiz.de/10001599290
Persistent link: https://www.econbiz.de/10002116360
Persistent link: https://www.econbiz.de/10002497060
In the first part we consider a dynamical model for the number of defaults of a pool of names. The model is based on the notion of generalized Poisson process, allowing for more than one default in small time intervals, contrary to many alternative approaches to loss modeling. We illustrate how...
Persistent link: https://www.econbiz.de/10014058476
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the...
Persistent link: https://www.econbiz.de/10012949463
We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take the form of semi-linear PDEs and Forward-Backward Stochastic Differential Equations (FBSDEs). After summarizing the...
Persistent link: https://www.econbiz.de/10013021843