53 citations · 122 across the 24 of their papers we have counts for
9 papers · 1 filter
A BSDE approach to fair bilateral pricing under endogenous collateralization
Tianyang Nie, Marek Rutkowski
Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes a…
Regulatory Capital Modelling for Credit Risk
Marek Rutkowski, Silvio Tarca
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We ou…
Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
Silvio Tarca, Marek Rutkowski
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk implements an asymptotic single risk factor (ASRF) model. Measurements from the ASRF model of…
Fair bilateral prices in Bergman's model
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Tianyang Nie, Marek Rutkowski
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results an…
Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…