Mark Lichtner

Independent

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 10,771

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4,780

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
Downloads 3,793 (2,763)
Citation 3

Abstract:

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negative rates, low rates, lognormal volatility, normal volatility, displaced, displacement, normal delta, lognormal delta

2.

Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps and Forward Contracts

Number of pages: 34 Posted: 02 Jun 2014 Last Revised: 08 Aug 2016
Christian P. Fries and Mark Lichtner
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Independent
Downloads 612 (47,264)
Citation 3

Abstract:

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Funding Valuation Adjustments, FVA, Collateralization, Repo

3.

How to Choose the Return Model for Market Risk? Getting Towards a Right Magnitude of Stressed VAR

Number of pages: 24 Posted: 15 Nov 2017 Last Revised: 04 Dec 2017
Mark Lichtner
Independent
Downloads 192 (172,349)

Abstract:

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VaR, SVaR, value at risk, stressed value at risk, fundamental review of the trading book, FRTB, interest rates, local volatility, normal, lognormal, relative, absolute, displaced, risk factor returns, model risk, return modelling, geometric calculus, nature of interest rates

4.

XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards

Number of pages: 37 Posted: 22 Apr 2015
Mark Lichtner and Christian P. Fries
Independent and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 183 (180,021)

Abstract:

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Black Scholes, defaultable underlying, bond derivatives, funding costs (FVA), counterparty credit value adjustment (CVA), underlying credit value adjustment, XVA, cash collateralization, bond forwards, total return swaps, wrong way Risk, default correlation