نتایج جستجو برای: default intensity
تعداد نتایج: 201793 فیلتر نتایج به سال:
We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We show that the empirically observed differences in these credit spreads are mostly driven by the dependency between the default risk of the obligor and the exchange rate. In our model there are two different channels to capture this dependence: First, the diffusions driving FX and...
The paper studies structural credit risk models with incomplete information of the asset value. It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. This problem cannot be tackled with standard techniques as the default time does not have an intensity under full information. Using the Dellacherie-formula the...
In this paper, we give a construction of default times admitting the same intensity, but having different conditional laws. This illustrates the well know fact that the intensity does not contain enough information to price derivative products. Our method is based on filtering theory. This paper is friendly dedicated to Eckhard Platen’s birthday. Even if it is not related with his exiting bench...
An editable rounded leaf offset (RLO) table is provided in the Pinnacle3 treatment planning software. Default tables are provided for major linear accelerator manu- facturers, but it is not clear how the default table values should be adjusted by the user to optimize agreement between the calculated leaf tip value and the actual measured value. Since we wish for the calculated MLC-defined field...
PURPOSE By default, the 4-mm wide leaf-pairs of the Elekta Beam Modulator MLC not used for field shaping are moved to under the primary collimator to minimize the leakage dose. The trade-off is the increased beam delivery time in the case of IMRT. This study examines the dosimetric impact and improved delivery efficiency by allowing the unused leaf-pair as 2mm gap to stay within the PTV apertur...
BACKGROUND An increase in worldwide HPV vaccination could be facilitated if fewer than three doses of vaccine are as effective as three doses. We originally aimed to compare the immunogenicity and frequency of persistent infection and cervical precancerous lesions caused by vaccine-targeted HPV after vaccination with two doses of quadrivalent vaccine on days 1 and 180 or later, with three doses...
Correlated default risk plays a significant role in financial markets. Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo simulation. The standard simulation method, which requires the discretization of the intensity process, lead...
We modify the model of Itkin, Shcherbakov and Veygman (ISV), proposed for pricing Quanto CDS risky bonds, in several ways. First, recovery rate could significantly vary right before or at default, therefore, here we treat it as stochastic. Second, assume domestic interest to be deterministic, because, shown by ISV, its volatility does not contribute much spread. Finally, solve corresponding sys...
In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an a¢ne di¤usion. The structure of the optimal portfolio over time is investigated and compared to the static meanvariance portfolio. Furthermore, we describe the impact of ti...
We show how to price corporate callable (res. putable) bonds in a model where interest rates are described by the Cox, Ingersoll and Ross model and default is described by a stochastic intensity model. Pricing is done by mean of a dynamic programming procedure, recently proposed for nondefaultable bonds, that is shown to be fast and accurate. The procedure is easy to implement and constitute an...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید