Institute of Information Theory and Automation

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Conference Paper (international conference)

Dynamic model of Loan Portfolio with Lévy Asset Prices

Šmíd Martin

: Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, p. 615-620 , Eds: Houda M., Friebelová J.

: 28-th International Conference on Mathematical Methods in Economics, (České Budějovice, CZ, 08.09.2010-10.09.2010)

: CEZ:AV0Z10750506

: GA402/09/0965, GA ČR, GAP402/10/1610, GA ČR, GAP402/10/0956, GA ČR

: risk management, loan portfolio, dynamic model

: model of loan portfolio with levy asset prices.pdf

(eng): 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.

: AH

2019-01-07 08:39