Bernd Engelmann

Ho Chi Minh City Open University

Researcher

Ho Chi Minh City

Vietnam

  • Ho Chi Minh City Open University

SCHOLARLY PAPERS

9

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6

Scholarly Papers (9)

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1.

Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme

Number of pages: 21 Posted: 26 Apr 2011 Last Revised: 09 Jun 2020
Bernd Engelmann, Frank Koster and Daniel Oeltz
Ho Chi Minh City Open University, DGZ-DekaBank and Independent
Downloads 898 (51,713)
Citation 12

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Heston Stochastic Local Volatility Model, Heston Model, Local Volatility Model, Derivatives Pricing, Finite Volume Scheme

2.

A Simple and Consistent Credit Risk Model for Basel II/III, IFRS 9 and Stress Testing when Loan Data History is Short

Number of pages: 29 Posted: 29 Oct 2021 Last Revised: 02 Apr 2023
Bernd Engelmann
Ho Chi Minh City Open University
Downloads 639 (80,933)

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Basel II, IFRS 9, Stress Testing, PD, LGD, EAD, Credit Risk

3.

Measuring the Performance of Bank Loans Under Basel II/III and IFRS 9/CECL

Number of pages: 23 Posted: 28 May 2020
Bernd Engelmann and Ha Pham
Ho Chi Minh City Open University and Ho Chi Minh City Open University
Downloads 302 (193,913)

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Basel II, IFRS 9, CECL, RAROC, Loan Performance Analysis

4.

Credit Risk Modeling in the Presence of Central Bank and Government Intervention

Number of pages: 19 Posted: 29 Oct 2021
Bernd Engelmann
Ho Chi Minh City Open University
Downloads 210 (277,429)

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Credit Risk, Default Probability, Covid-19, Basel II, IFRS 9, Stress Testing

5.

A RAROC Valuation Scheme for Loans and its Application in Loan Origination

Number of pages: 25 Posted: 28 May 2020
Bernd Engelmann and Ha Pham
Ho Chi Minh City Open University and Ho Chi Minh City Open University
Downloads 163 (348,053)
Citation 1

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RAROC, Loan Pricing, Hurdle Rate, Loan Origination

6.

Managing the Risk of Embedded Options in Non-Traded Credit Using Portfolio Modeling

Number of pages: 23 Posted: 13 Aug 2019 Last Revised: 06 May 2022
Bernd Engelmann
Ho Chi Minh City Open University
Downloads 82 (573,902)

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Loan, Non-traded Credit, Embedded Options, Option Pricing, Credit Portfolio Modeling, Credit Risk Management

7.

Spurious Default Probability Projections in Credit Risk Stress Testing Models

Number of pages: 15 Posted: 21 Jan 2024
Bernd Engelmann
Ho Chi Minh City Open University
Downloads 18 (1,003,933)

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Credit Risk, Stress Testing, Default Probability, Transition Matrix, Spurious Projections

8.

Calculating Lifetime Expected Loss for IFRS 9: Which Formula is Correct?

Posted: 03 Sep 2018 Last Revised: 26 Jun 2021
Bernd Engelmann
Ho Chi Minh City Open University

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IFRS 9, Loan Loss Provisioning, Lifetime Expected Loss

9.

Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options

Journal of Risk, Vol. 12, No. 1, pp. 53-77, 2009
Posted: 09 Oct 2006 Last Revised: 10 Mar 2011
Bernd Engelmann, Matthias R. Fengler and Peter Schwendner
Ho Chi Minh City Open University, University of St. Gallen - School of Economics and Political Science and Zurich University of Applied Sciences

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Local Volatility Model, Barrier Options, Implied Volatility Smile, Empirical Hedging Analysis