6 research outputs found
The Mean Reversion Stochastic Processes Applications in Risk Management
In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised features in the data. After introducing several widely used the mean reversion processes, we discuss this methods for risk management
with Monte Carlo simulations. We also explain how the process can be calibrated based on historical data of Bulgarian 5 year Credit Default Swap and to find out Value at Risk
The Mean Reversion Stochastic Processes Applications in Risk Management
In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised features in the data. After introducing several widely used the mean reversion processes, we discuss this methods for risk management
with Monte Carlo simulations. We also explain how the process can be calibrated based on historical data of Bulgarian 5 year Credit Default Swap and to find out Value at Risk
An interest rate model with Markov chain volatility level
We consider a two factor interest rate model, where the volatility level follows continuous time finite state Markov chain. We derive the close form solution of bond price that involves fundamental matrix
Assessing bank's default probability using the ASRF model
In this paper it is shown how a Vasicek-model approach and the assumptions in Basel 2 regulatory framework can be used to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The estimation of the propose measure of bank probability of default could be made over the capital ratio from supervisory authorities (non-public information) or over the
capital ratio from balance sheet data (public available information)