| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0347637 |
| utime |
20240103193913.0 |
| mtime |
20101103235959.9 |
| WOS |
000287979900104 |
| title
(primary) (eng) |
Dynamic model of Loan Portfolio with Lévy Asset Prices |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346970 |
| ISBN |
978-80-7394-218-2 |
| title
|
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 |
| page_num |
615-620 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
J. |
|
|
| keyword |
risk management |
| keyword |
loan portfolio |
| keyword |
dynamic model |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0264432 |
| name |
28-th International Conference on Mathematical Methods in Economics |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0188374 |
| arlyear |
2010 |
| mrcbU34 |
000287979900104 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
Houda M. 340 |
| mrcbU67 |
Friebelová J. 340 |
|