The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification of the financial risk driver. In a stochastic scenario the sensitivity of the current values of projected liability cash-flow is investigated by means of a numerical implementation.
On the financial risk factor in fair valuation of the mathematical provision
COCOZZA, ROSA;DI LORENZO, EMILIA;SIBILLO, MARILENA
2005
Abstract
The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification of the financial risk driver. In a stochastic scenario the sensitivity of the current values of projected liability cash-flow is investigated by means of a numerical implementation.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
Cocozza_DeFeo_DiLorenzo_Sibillo.pdf
accesso aperto
Descrizione: Full Paper
Tipologia:
Documento in Post-print
Licenza:
Dominio pubblico
Dimensione
428.27 kB
Formato
Adobe PDF
|
428.27 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.