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Dynamic model of Loan Portfolio with Lévy Asset Prices
- 1.0347637 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
Dynamic model of Loan Portfolio with Lévy Asset Prices.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 615-620. ISBN 978-80-7394-218-2.
[28-th International Conference on Mathematical Methods in Economics. České Budějovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GA402/09/0965; GA ČR GAP402/10/1610; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : risk management * loan portfolio * dynamic model
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of loan portfolio with levy asset prices.pdf
We generalize the well known Merton-Vasicek (KMV) model of a loan portfolio value in two ways: we assume a L' evy process of the debtors' assets' value (instead of the Gaussian one) and we model a dynamics of the portfolio value so that the debts may last several periods (instead of a single one). Our model is computable by simulation.
Permanent Link: http://hdl.handle.net/11104/0188374
Number of the records: 1