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Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes
Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes This abstract describes a paper that models a firm value by a jump-diffusion process and derives an ...- Authors: Bin Li, Xiaowen Zhou, Qihe Tang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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The Marginal Cost of Risk, Risk Measures, and Capital Allocation
The Marginal Cost of Risk, Risk Measures, and Capital Allocation This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the ...- Authors: Daniel Bauer, George H Zanjani
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations
Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for ...- Authors: Elisabeth Kemajou-Brown
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Estimation and Pricing with a Diffusion Model with Jumps
Estimation and Pricing with a Diffusion Model with Jumps This abstract describes a paper that looks at ways of pricing options under the enhanced diffusion Model.- Authors: Claire Bilodeau, ANDREW LUONG
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction
Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Method
Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Method This abstract describes work that revisits Tilley’s approach to approximating the value of a ...- Authors: Dominic Cortis
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Analysis of a bivariate risk model
Analysis of a bivariate risk model This abstract describes a paper that introduces a bivariate compound loss model describing the aggregate losses from two lines of insurance businesses. ruin ...- Authors: JIANDONG REN, Jingyan Chen
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results
Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Complexity Science – What it is and Why You Want to Know About It
Complexity Science – What it is and Why You Want to Know About It This abstract describes a presentation that introduces new methods such as Experimental Mathematics, Genetic Algorithms, ...- Authors: David Snell
- Date: Dec 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Finance & Investments
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Measuring Returns after Reflecting the Rental Cost of Rating Agency Capital
Measuring Returns after Reflecting the Rental Cost of Rating Agency Capital In this article, the author presents a case for using a Risk Return On Capital approach as a way to integrate desirable ...- Authors: Robert A Bear
- Date: Jul 2006
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Finance & Investments