One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a "credit risk". Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision of the European Union to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the...

One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision of the European Union to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the...

We propose a dynamic structural model of credit risk of multiple loan portfolios. In line with Merton, Vasicek and Pykhtin, we assume that a loan defaults if the assets of the debtor fall below his liabilities, and that the subsequent loss given default is determined by the collateral value. For...