English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilitiesfluctuate randomly and asset values may be subject to systemic jump risk. Wederive the probability distribution of the percentage loss of a uniformportfolio and analyze its properties. We find that the impact of liability riskis ambiguous and depends on the correlation between the continuous aggregatefactor and the asset-liability ratio as well as on the default intensity. Wealso find that systemic jump risk has a significant impact on the upperpercentiles of the loss distribution and, therefore, on both the VaR-measure aswell as on the expected shortfall.

A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk