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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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 836 (45,382)
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: 24 Posted: 29 Oct 2021
Bernd Engelmann
Ho Chi Minh City Open University
Downloads 262 (180,264)

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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 208 (225,149)

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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 155 (290,470)

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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 89 (433,520)

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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 53 (570,386)

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

7.

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

Journal of Risk Model Validation, Vol. 16, No. 1, 2022
Posted: 02 May 2022
Bernd Engelmann
Ho Chi Minh City Open University

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credit risk,default probability,Covid-19,Basel II,International Financial Reporting Standard 9 (IFRS 9),stress testing

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