DecisionSciRN: Monte Carlo Simulation (Sub-Topic), 2020
This paper presents a study and a framework to assess the fair economic value of Structured Produ... more This paper presents a study and a framework to assess the fair economic value of Structured Products pledged as collateral in a Lombard Loan. In particular, it discusses how the value of Barrier Reverse Convertibles in the market can be used to determine the Loan-to-Value by applying the concept of Conditional Value at Risk based on Monte Carlo simulations. It also provides important analysis for pricing and evaluating Barrier Reverse Convertibles to fill a gap in the Literature. Therefore, a simulated approach is proposed with a valid risk model and an algorithm is applied to compute the tail risk probabilities. The Model variables takes into consideration both market and credit risk factors to assess the economic value for the pledged Barrier Reverse Convertibles. The study finds that Barrier Reverse Convertibles are favourable investment vehicles which can create liquidity even in a time of crisis.
Quantitative easing and negative interest rates have attracted the attention of numerous research... more Quantitative easing and negative interest rates have attracted the attention of numerous researchers in recent years. There is a limited number of countries in the world such as Japan, Switzerland, and Sweden that carry out their quantitative easing programs and negative interest rate policy. Yet, it has been criticized for its spillovers on emerging market economies.
DecisionSciRN: Monte Carlo Simulation (Sub-Topic), 2020
This paper presents a study and a framework to assess the fair economic value of Structured Produ... more This paper presents a study and a framework to assess the fair economic value of Structured Products pledged as collateral in a Lombard Loan. In particular, it discusses how the value of Barrier Reverse Convertibles in the market can be used to determine the Loan-to-Value by applying the concept of Conditional Value at Risk based on Monte Carlo simulations. It also provides important analysis for pricing and evaluating Barrier Reverse Convertibles to fill a gap in the Literature. Therefore, a simulated approach is proposed with a valid risk model and an algorithm is applied to compute the tail risk probabilities. The Model variables takes into consideration both market and credit risk factors to assess the economic value for the pledged Barrier Reverse Convertibles. The study finds that Barrier Reverse Convertibles are favourable investment vehicles which can create liquidity even in a time of crisis.
Quantitative easing and negative interest rates have attracted the attention of numerous research... more Quantitative easing and negative interest rates have attracted the attention of numerous researchers in recent years. There is a limited number of countries in the world such as Japan, Switzerland, and Sweden that carry out their quantitative easing programs and negative interest rate policy. Yet, it has been criticized for its spillovers on emerging market economies.
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Papers by Ahmad Kabtoul