Showing 1 - 10 of 88
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...
Persistent link: https://www.econbiz.de/10011890804
In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...
Persistent link: https://www.econbiz.de/10012293134
The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...
Persistent link: https://www.econbiz.de/10011811547
Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals...
Persistent link: https://www.econbiz.de/10012597036
We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...
Persistent link: https://www.econbiz.de/10014446758
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...
Persistent link: https://www.econbiz.de/10013093081
This study on explaining aggregated recovery rates (ARR) is based on the largest existing loss and recovery database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents and over 120 countries. The dependence of monthly ARR from bank loans on various...
Persistent link: https://www.econbiz.de/10012805466
The aim of the research presented in the article was to analyse the legitimacy of the use of scoring models in banking activities, together with the assessment of the effectiveness of this tool in reducing the high value of the NPL ratio in Polish cooperative banks on the example of banks...
Persistent link: https://www.econbiz.de/10012599592
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...
Persistent link: https://www.econbiz.de/10012806470
The main aim of the research was to determine the key factors determining the level of credit risk of individual clients (clients in the form of natural persons, excluding companies) on the example of Polish cooperative banks according to the following features: transaction characteristics,...
Persistent link: https://www.econbiz.de/10012794149