Description: This abstract describes a paper that models a firm value by a jump-diffusion process and derives an explicit formula for the default probability.

Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for the pricing of corporate debt and adopts this approach to the valuation of government loan guarantees for companies in financial distress.

Description: This abstract describes a paper that looks at ways of pricing options under the enhanced diffusion Model.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: This abstract describes work that revisits Tilley’s approach to approximating the value of a derivative through simulation and compares it to the Least Squares Monte Carlo Method developed by Longstaff and Schwartz.

Description: This abstract describes a paper that introduces a bivariate compound loss model describing the aggregate losses from two lines of insurance businesses.

Description: This abstract describes a paper that studies the probability of a systemic event occurring within a financial network.

Description: This abstract describes a paper that proposes a quantitative framework which jointly considers the endowment spending policy and the asset allocation decision a-la Markowitz.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.