Dynamic model of Loan Portfolio with Levy Asset Prices

被引：0
|
作者：
Smid, Martin [1 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, Prague, Czech Republic
来源：
28TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2010, PTS I AND II | 2010年
关键词：
risk management; loan portfolio; dynamic model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We generalize the well known Merton-Vasicek (KMV) model of a loan portfolio value in two ways: we assume a Levy 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.
引用
收藏
页码：615 / 620
页数：6
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