We re-examine insurance purchases when life insurance and life annuities carry loads. The life cycle literature says that it is optimal to participate in these insurance markets throughout life, even under loads. A life annuity phase backs directly onto a life insurance phase. However, the...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Islamic financial institutions have relied for decades on margin-based contracts to provide financing for the business sector, despite the basic idea that Islamic finance is expected to provide an equity-based or a profit and loss sharing (PLS) contract. This fact raises the need to encourage...

XVA models for the calculation of CVA, FVA (see for example (Burgard and Kjaer 2013)), KVA(Green, Kenyon, and Dennis 2014), MVA (Green and Kenyon 2014) and TVA (Kenyon and Green 2014a) have frequently been formulated at the counterparty level. However, it is clear that some elements of the...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...