The credit component of the Basel economic capital framework is based on Vasicek's portfolio loss model (see Vasicek, 2002, and Schonbucher, 2000). This is a two-state model: at the end of a given ...
Vol. 51, Supplement 3: Symposium: Corporate Finance for Advancement in Emerging Markets (May–June 2015), pp. S118-S139 (22 pages) Published By: Taylor & Francis, Ltd. This article extends the Vasicek ...
The financial industry has been rapidly integrating Artificial Intelligence (AI) to enhance various aspects of its operations, including the pricing of interest rate derivative contracts. Interest ...
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