In this study, we derive an analytical solution for the expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure non-negative values for the intensity and interest rate, we assume a quadratic Gaussian process for the default intensity and...

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices and interest rates. Because some widely used aggregation methods such as variance-covariance tend to underestimate the risk of an aggregated portfolio, a copula is utilized for...

In this study, we derive an analytical solution for expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure nonnegative values for intensity and interest rate, we assume a quadratic Gaussian process for default intensity and discount interest...