0347637 20240103193913.020101103235959.9 000287979900104 6 s. cav_un_epca*0346970978-80-7394-218-2615-620České BudějoviceUniversity of South Bohemia2010HoudaM.FriebelováJ. risk management loan portfolio dynamic model cav_un_auth*0101206 Šmíd Martin Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/smid-dynamic model of loan portfolio with levy asset prices.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 GAP402/10/1610 GA ČR cav_un_auth*0263483 GAP402/10/0956 GA ČR cav_un_auth*0263482 CEZ:AV0Z10750506 We generalize the well known Merton-Vasicek (KMV) model of a loan portfolio value in two ways: we assume a L' evy process of the debtors' assets' value (instead of the Gaussian one) and we model a dynamics of the portfolio value so that the debts may last several periods (instead of a single one). Our model is computable by simulation. cav_un_auth*0264432 28-th International Conference on Mathematical Methods in Economics České Budějovice 08.09.2010-10.09.2010 CZ 2011 AH http://hdl.handle.net/11104/0188374 2010 000287979900104 WOS cav_un_epca*0346970 Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 978-80-7394-218-2 615 620 České Budějovice University of South Bohemia 2010 Houda M. 340 Friebelová J. 340