[HTML][HTML] Assessment of tax-related risks in corporate betting agreements based on vector autoregressive model

Y Zhang - Applied Mathematics and Nonlinear Sciences - sciendo.com
This paper is based on the vector autoregressive (VAR) model, and the model optimization
is completed by determining the lag order to eliminate the autocorrelation in the error term …

A model for the valuation of assets with liquidity risk

BJ Nauta - Journal of Risk, 2017 - papers.ssrn.com
This paper describes a model for the valuation of assets on a bank balance sheet with
liquidity risk. The new feature of this model is that it explicitly incorporates the funding term of …

Multi-Curve Discounting

BJ Nauta - 2018 - papers.ssrn.com
This note considers the valuation of assets and liabilities on a balance sheet with liquidity
risk. It introduces the multi-curve discounting (MCD) method, where the discount curve …