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Generalized CreditRisk+ model and applications

Jakub Szotek (2015)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.

Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model

Alina Kondratiuk-Janyska, Marek Kałuszka (2006)

Applicationes Mathematicae

The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models...

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