Celestijnenlaan 200 B
KU Leuven - Department of Mathematics
in Total Papers Downloads
in Total Papers Citations
CoCos, Contingent, Capital, Derivatives
Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index
Comonotonicity, systemic risk, correlation, VIX volatility index
hHeston, hedging, variance swaps, CDS, jump to default
Contingent Capital, Moral Hazard, Financial Regulation
G13, G18, G21, C15
contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2
Contingent capital, conic finance, acceptability, distorted expectations, capital requirements
Liquidity, bid-ask pricing, conic finance
Optimal Debt, Bid Ask Price, Capital Requirements, Pricing to Acceptability
Variance Gamma, Local Levy, Barrier Pricing, Sato Process
exceedances, extreme value theory, heavy tails, maxima
SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models
Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation
Heston model, Starting values, Variance term structure matching
Default Probabilities, Levy Models, CDS pricing
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform
Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution
Contingent Capital, CoCo, Death Spiral
contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability
LCDX tranches, LCDS, loan-only credit default swap, credit risk, credit derivatives, one-factor model, base correlations, tranche pricing, recursive formula, Levy processes, default risk, prepayment risk, alpha-stable process, variance gamma process
Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities
Nonlinear Expectations, Concave Distortions, Variance Gamma Process, Conic Finance
CPPI, Levy, Variance Gamma, CDO, Credit Derivatives
Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times
basket options, characteristic function, implied correlation, Lévy market, Variance-Gamma
calibration, moment matching, exponential Levy models
comonotone, Sato process, variance gamma, Markov Martingale, variance swap
Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion
implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity
comonotonic copula, independence, aggregate distribution, concordance order, positive quadrant dependence
comonotonic copula, independence, aggregate distribution, concordance order, positive
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2790899.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
capital requirements, risk-weighted assets
cancellation risk, bullet LCDS, LCDX, tranche pricing, marking-to-market, hedging, one-factor models, base correlation, L¿vy copulas, stochastic recovery
Implied correlation estimate, index option, vanilla option, implied volatility, VIX.
implied correlation estimate, index option, vanilla option, implied volatility, VIX
comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX.
comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX
contingent convertibles, CoCo bonds, new issuance
Single sided Levy processes, Structural models, Credit risk, Default probability, Constant Maturity Credit Default Swaps, Monte Carlo methods
Single sided Levy processes, Structural models, Credit risk, Default probability, Credit Default Swaptions, Option pricing
Risk-Neutral, Probability of Default (PD), Credit Risk Premium, Real Economic Value (REV), Coverage Ratio
Contingent convertibles, extension rsk, call date
Acceptable Risks, Probability Distortions, Variance Gamma Model
G21, G13, C15, C00
Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation
Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: fmii.
File name: j-9965.
Levy process, Sato process, pricing to acceptability
File name: j-0300.
CPPI, Conic Finance, Trading Strategy, distorted expectations
Acceptable Risks, Distorted Expectations, Bilateral Gamma Model, Escalator Elevator Metric
Probability Distortion, Measure Distortion, Self Decomposable Law, Variance Gamma Model
Implied recovery rate, Absolute priority rule violation, Debt pricing, Recovery risk, Credit derivatives
Contingent Capital, CoCo bonds, tail risk
File name: JOES.
Capital structure, Insurance, Pecking order theory, Trade‐off theory
non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions
CVA, DVA, conic finance, bid and ask pricing
Structured Finance, Asset-Backed Securities, Rating, Default Models, Prepayment Models
Credit risk, CDOs-squared, collateralized debt obligations, correlation, copula, hedging
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