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Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results
Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results This abstract ... proposes a new model for the loss given default (LGD), which takes the depth of default into consideration ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction
Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction This abstract ... proposes a new model for the loss given default (LGD), which takes the depth of default into consideration ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Asymptotic Expressions for the Haezendonck- Goovaerts Risk Measure with General Young Function
Asymptotic Expressions for the Haezendonck- Goovaerts Risk Measure with General Young Function This ... describes a paper that extends the asymptotic analysis for the HG risk measure to the case with a general Young ...- Authors: Qihe Tang, Fan Yang
- Date: Feb 2014
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Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation
Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation This ... abstract describes a paper that focuses on the tail probability of the aggregate risk amount. 6442453331 2/1/2014 ...- Authors: Qihe Tang
- Date: Feb 2014
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Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes
Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes This abstract ... jump-diffusion process and derives an explicit formula for the default probability. 4294993469 12/1/2012 12:00:00 ...- Authors: Bin Li, Xiaowen Zhou, Qihe Tang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments