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Publication details

Dynamic model of Loan Portfolio with Lévy Asset Prices

Conference Paper (international conference)

Šmíd Martin

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

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

research: CEZ:AV0Z10750506

project(s): GA402/09/0965, GA ČR, GAP402/10/1610, GA ČR, GAP402/10/0956, GA ČR

keywords: risk management, loan portfolio, dynamic model

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abstract (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.


2012-12-21 16:10