Linear credit risk models

Ackerer, Damien; Filipović, Damir

doi:10.1007/s00780-019-00409-z

Cited by 10 publications

(2 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Modeling is carried out using techniques of mathematical statistics, which allow investigating indirect causal relationships of economic activity indicators with production indicators and parameters. With the help of these methods, it is possible to determine not a functional, but a stochastic causal relationship between economic phenomena, that is, one can study the factors that have a tendentious effect on the object of research [11].…”

Section: Introductionmentioning

confidence: 99%

RETRACTED: Implementation of Stochastic Analysis in Corporate Decision-Making Models

Liu

Tulenty

et al. 2021

Mathematics

View full text Add to dashboard Cite

The stochastic approach as a method for modeling factor systems of interrelationships of economic activity aspects allows minimizing managerial errors against the background of company growth and expansion of operating activities. The purpose of this study is to form a decision-making model to ensure the financial competitiveness of enterprises in the context of stochastic analysis. This study demonstrates stochastic analysis implementation in companies of the 2nd and 3rd degrees of internationalization based on multiple regression and factorial analysis of variance. The practical basis of the study was Chinese and Russian mining enterprises that enter highly competitive markets and therefore should avoid mistakes in decision-making as much as possible. The model of financial competitiveness proposed in the article demonstrates the best ways to introduce stochastics in companies to optimize their overall productivity, regardless of the country of origin. In a practical sense, research on reducing managerial mistakes allows enterprises to have financial success even in the turbulent conditions of today’s global market, regardless of the company’s jurisdiction.

show abstract

Section: Introductionmentioning

confidence: 99%

RETRACTED: Implementation of Stochastic Analysis in Corporate Decision-Making Models

Liu

Tulenty

et al. 2021

Mathematics

View full text Add to dashboard Cite

show abstract

“…1111In the more general polynomial framework described in Section 2, it is possible to lower bound the short rate. For example, one can use compactly supported polynomial processes, similarly as in Ackerer and Filipović (2020). …”

mentioning

confidence: 99%

A term structure model for dividends and interest rates

Filipović

Willems

2020

Mathematical Finance

Self Cite

View full text Add to dashboard Cite

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump‐diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 Index dividend futures and dividend options, and Euro Stoxx 50 Index options.

show abstract

Infinite-dimensional polynomial processes

Cuchiero¹,

Svaluto-Ferro²

2021

Finance Stoch

View full text Add to dashboard Cite

We introduce and analyse infinite dimensional Wishart processes taking values in the cone S + 1 (H) of positive self-adjoint trace class operators on a separable real Hilbert space H. Our main result gives necessary and sufficient conditions for their existence, showing that these processes are necessarily of fixed finite rank almost surely, but they are not confined to a finite-dimensional subspace of S + 1 (H). By providing explicit solutions to operator valued Riccati equations, we prove that their Fourier-Laplace transform is exponentially affine in the initial value. As a corollary, we obtain uniqueness in law as well as the Markov property. We actually show the explicit form of the Fourier-Laplace transform for a wide parameter regime, thereby also extending what is known in the finite-dimensional setting. Finally, under minor conditions on the parameters we prove the Feller property with respect to a slight refinement of the weak- * -topology on S + 1 (H). Applications of our results range from tractable infinite-dimensional covariance modelling to the analysis of the limit spectrum of large random matrices.

show abstract

Linear credit risk models

Cited by 10 publications

References 39 publications

RETRACTED: Implementation of Stochastic Analysis in Corporate Decision-Making Models

RETRACTED: Implementation of Stochastic Analysis in Corporate Decision-Making Models

A term structure model for dividends and interest rates

Infinite-dimensional polynomial processes

Contact Info

Product

Resources

About