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Adaptive financial networks with static and dynamic thresholds
Adaptive financial networks static and dynamic thresholds
2010/10/18
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the ...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...
Dynamic operational risk: modeling dependence and combining different sources of information
dependence modelling copula compound process operational risk Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...