2 papers
stat.AP2024
On the Impact of Biological Risk in Aquaculture Valuation and Decision Making
Christian-Oliver Ewald, Kevin Kamm
This paper explores the impact of stochastic mortality and disease on animal-based commodities, with a specific emphasis on aquaculture, particularly in the context of salmon farmi…
q-fin.RM2022
An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework
Kevin Kamm
In this paper, we model the rating process of an entity as a piecewise homogeneous continuous time Markov chain. We focus specifically on calibrating the model to both historical d…