Bibliografie
Conference Paper (international conference)
Dynamic model of Loan Portfolio with Lévy Asset Prices
: 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
(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