Ultra-fast scenario analysis of mortgage prepayment risk
Alexios Theiakos, Jurgen M. C. Tas, Han van der Lem and Drona Kandhai
| Year of publication: |
2015
|
|---|---|
| Authors: | Theiakos, Alexios ; Tas, Jurgen M. C. ; Lem, Han van der ; Kandhai, Drona |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/15, 3, p. 19-33
|
| Subject: | market risk | mortgage valuation | GPU | PDE | forward Kolmogorov | Monte Carlo | Hypothek | Mortgage | CAPM | Risiko | Risk | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | Szenariotechnik | Scenario analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011298889