Essays about: "Merton Mixed Binomial Model"

Found 2 essays containing the words Merton Mixed Binomial Model.

  1. 1. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

    University essay from Göteborgs universitet/Graduate School

    Author : Leonardo Di Geronimo; [2019-07-02]
    Keywords : Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

    Abstract : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. READ MORE

  3. 2. Models for Credit risk in Static Portfolios

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Joel Johansson; Anton Engblom; [2015-07-02]
    Keywords : ;

    Abstract : In this thesis we investigate models for credit risk in static portfolios. We study Vasicek's closed form approximation for large portfolios with the mixed binomial model using the beta distribution and a two-factor model inspired by Merton as mixing distributions. READ MORE