Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Drona Kandhai"'
Publikováno v:
Entropy, Vol 26, Iss 9, p 738 (2024)
The foreign exchange (FX) market has evolved into a complex system where locally generated information percolates through the dealer network via high-frequency interactions. Information related to major events, such as economic announcements, spreads
Externí odkaz:
https://doaj.org/article/24f5cc80699545cd8a8cffa90f36d7ad
Publikováno v:
Risks, Vol 11, Iss 10, p 168 (2023)
We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs
Externí odkaz:
https://doaj.org/article/b392fd166cb345a6b5d99e3339afd606
Publikováno v:
Complexity, Vol 2018 (2018)
Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors.
Externí odkaz:
https://doaj.org/article/933823d086d449be9e57984ecfff837e
Autor:
Ioannis Anagnostou, Drona Kandhai
Publikováno v:
Risks, Vol 7, Iss 2, p 66 (2019)
One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads. Geometric Brownian
Externí odkaz:
https://doaj.org/article/3f9f63bcf62d4557a0f1de73928c44fb
Publikováno v:
Journal of Credit Risk, 16(1), 1-26. Incisive Media Ltd.
The robustness of credit portfolio models is of great interest for financial institutions and regulators, since misspecified models translate into insufficient capital buffers and a crisis-prone financial system. In this paper, the authors propose a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::47b75fc44c6fba9b4053c3275c886e53
https://dare.uva.nl/personal/pure/en/publications/contagious-defaults-in-a-credit-portfolio-a-bayesian-network-approach(2e39151b-d1ef-4267-91e9-22b0f4bb053d).html
https://dare.uva.nl/personal/pure/en/publications/contagious-defaults-in-a-credit-portfolio-a-bayesian-network-approach(2e39151b-d1ef-4267-91e9-22b0f4bb053d).html
Publikováno v:
Wilmott. 2019:60-73
There is an increasing consensus within banks, on the need to recognize the impact of rising capital requirements on their derivative business in the form of capital valuation adjustment (KVA). However, because of varied reasons, there are still conc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::16ef86031ea67630f5840fb4204dfdf3
https://doi.org/10.1002/wilm.10777
https://doi.org/10.1002/wilm.10777
Publikováno v:
Quantitative Finance
Quantitative Finance, 1-18
STARTPAGE=1;ENDPAGE=18;TITLE=Quantitative Finance
Quantitative Finance, 1-18
STARTPAGE=1;ENDPAGE=18;TITLE=Quantitative Finance
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate level of structure standing in between the microscopic dynamics of indiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8760ab7a5396ca129da6e5fb5e8f69a4
Publikováno v:
Scientific Reports, 10:17045. Nature Publishing Group
Scientific Reports, Vol 10, Iss 1, Pp 1-15 (2020)
Scientific Reports
Scientific Reports, Vol 10, Iss 1, Pp 1-15 (2020)
Scientific Reports
Accounting scandals like Enron (2001) and Petrobas (2014) remind us that untrustworthy financial information has an adverse effect on the stability of the economy and can ultimately be a source of systemic risk. This financial information is derived
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::577880920b5d3388eb4e89008bf10c3e
https://doi.org/10.1038/s41598-020-74010-2
https://doi.org/10.1038/s41598-020-74010-2
Publikováno v:
SSRN Electronic Journal.
We develop a novel framework using Bayesian networks to capture distress dependence in the context of counterparty credit risk. This allows us to calibrate the probability of distress of an entity conditional on the distress of a different entity. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b43964cc3064878e0ab2e664b4166767
https://doi.org/10.2139/ssrn.3525739
https://doi.org/10.2139/ssrn.3525739
Publikováno v:
Quantitative Finance. 18:1657-1678
The focus of this paper is the efficient computation of counterparty credit risk exposure on portfolio level. Here, the large number of risk factors rules out traditional PDE-based techniques and allows only a relatively small number of paths for nes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d65164aa53e7865db9142e94a16920d9
https://doi.org/10.1080/14697688.2018.1435902
https://doi.org/10.1080/14697688.2018.1435902