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q-fin.RM2024
The Merton's Default Risk Model for Public Company
Battulga Gankhuu
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's appr…
q-fin.RM2024
Derivatives of Risk Measures
Battulga Gankhuu
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we…