The Vasicek model
Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework Empirical approaches and technical implementation
... the Vasicek asymptotic single risk factor model, stress testing based on rating transition probability involves three components: the unconditional rating transition matrix, asset correlations, and stress ...
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A Comparative Study of the Vasicek and the CIR Model of the Short Rate
... In the second part of the work, we applied the models to a given data set, in an attempt to study and analyze the nature of fits of the models. First, we calibrated the models using the bond prices, thus getting the ...
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Vasicek s Model of Distribution of Losses in a Large, Homogeneous Portfolio
... • The Vasicek model is the same as the intensity model with a Gaussian copula, identical default probabilities and a large number of names. Merton-model Approach to Distribution of Por[r] ...
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Vasicek model with mixed exponential jumps and its applications in finance and insurance
... the Vasicek models with mixed-exponential jumps and their integrated pro- ...the Vasicek model with mixed-exponential jumps, and derive the pricing of a default-free zero-coupon bond and a European ...
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Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes
... 8014 1.Introduction Statistical inference for stochastic differential equations is a main research direction in probability theory and its applications. When the noise is a standard Brownian motion, such problems have ...
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MAXIMUM LIKELIHOOD ESTIMATION IN THE FRACTIONAL VASICEK MODEL. Stanislav Lohvinenko, Kostiantyn Ralchenko
... the Vasicek model is widely used not only in finance, but also in various scientific areas such as economics, biology, physics, chemistry, medicine and environmental ...
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Parameter Estimation for Discretely Observed Vasicek Model Driven by Small L´evy Noises
... for Vasicek model driven by Brownian motion has been well developed( [13], [18], ...the Vasicek model, for example, discontinuous sample paths and heavy tailed ...for Vasicek ...
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Yield Curve Modelling: A Comparison of Principal Components Analysis and the Discrete-Time Vasicek Model.
... the Vasicek model are known to poorly fit interest rate ...factor Vasicek model struggles to capture the curvature of the yield curve ...the Vasicek model with increasing number ...
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Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
... The key point for the calculation of the VaR, ES, VaRC and ESC is how to evaluate the coefficients of the wavelet expansion and their derivatives with respect to exposures. In the technical context, choosing a convenient ...
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Lévy-Vasicek Models and the Long-Bond Return Process
... the Vasicek model. This is not the way in which the Vasicek model is usually presented in the ...classical Vasicek model leads us directly to a construction of the corresponding ...
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Closed-form solution for generalized Vasicek dynamic term structure model with time-varying parameters and exponential yield curves
... short-rate model for the term structure of interest ...notably Vasicek (1977), i.e. the Vasicek model. The Vasicek model is a well known mathematical model describing the ...
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Vasicek Single Factor Model
... Default triggered by firm’s value Vasicek Single Factor Model.. Loss distribution in finite portfolio.[r] ...
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Statistical inference for Vasicek-type model driven by Hermite processes
... fractional model considered in the seminal paper [2] of Comte and Renault (see also Chronopoulou and Viens [3], as well as the motivations and references therein) and used by these authors to model a ...
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Pricing Loan CDS with Vasicek Interest Rate under the Contagious Model
... CDS is one of the credit derivatives with large trading volume in the global financial market. In fact, there is a certain relationship among most of the companies in real market, such as the problem of holding each ...
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Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model
... KEYWORDS Credit Default Swap; Bond; Contagious Risk; Fractional Vasicek Interest Rate Model; Looping Default 1. Introduction Credit risk is one of the main risks in the financial industry. It is very ...
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Pricing European and American bond option under the Hull White extended Vasicek model
... the model are constants and we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework in term of forward ...
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THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek
... THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider ...
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Modeling Systematic Risk and Point in Time Probability of Default under the Vasicek Asymptotic Single Risk Factor Model Framework
... multifactor Vasicek model with a latent residual, a factor accounting for default contagion and feedback ...this model is equivalent to least squares linear ...
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Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates
... deflators exist (e.g. Milterssen and Persson (1999) and Jeanblanc et al. (2009)), there are not many known explicit expressions for them and their distribution functions. Recently, the author has introduced a ...
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Estimating Long Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models
... a Vasicek-type of models for estimating portfolio level probability of default ...these Vasicek models, asset correlation and long-run PD for a risk homogenous portfolio both have analytical solutions, ...
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