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

页码：615 / 620

页数：6

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