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- 2021-07-16 Paper An integrated model for fire sales and default contagion 2021-05-05 Paper Systemic optimal risk transfer equilibrium 2021-05-05 Paper FINANCIAL...10 bytes (18 words) - 02:14, 10 December 2023
- of counterparty default risk 2014-06-23 Paper Optimal risk transfer under quantile-based risk measurers 2014-04-15 Paper Optimal risk transfers in insurance...10 bytes (18 words) - 01:50, 11 December 2023
- test for long memory 2022-07-01 Paper Pricing credit default swaps with Parisian and Parasian default mechanics 2022-06-21 Paper A closed-form pricing formula...10 bytes (17 words) - 02:27, 13 December 2023
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach 2023-02-16 Paper Financial fragility and credit risk: a simulation...10 bytes (17 words) - 23:28, 10 December 2023
- application to operational risk management 2014-08-15 Paper Erratum to: Bayesian copulae distributions, with application to operational risk management 2013-01-11...10 bytes (18 words) - 01:33, 11 December 2023
- 2010-05-27 Paper VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS 2010-01-08 Paper Defaultable game options in a hazard process model...10 bytes (16 words) - 00:40, 9 December 2023
- Type PD-Implied Ratings via Referencing a Credit Rating/Scoring Pool’s Default Experience 2021-12-10 Paper Data-cloning \(SMC^2\): a global optimizer for...10 bytes (18 words) - 03:57, 9 December 2023
- 2015-09-14 Paper Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk 2015-08-20 Paper The determinants of...10 bytes (16 words) - 00:43, 9 December 2023
- Paper JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS 2014-11-12 Paper Flexing the default barrier 2013-12-13 Paper Safety...10 bytes (16 words) - 04:49, 13 December 2023
- 2021-11-02 Paper How correlation risk in basket credit derivatives might be priced and managed? 2021-07-13 Paper On correlated defaults and incomplete information...10 bytes (17 words) - 23:32, 12 December 2023
- 2013-01-28 Paper Optimal insurance with divergent beliefs about insurer total default risk 2003-12-04 Paper Optimal insurance design with random initial wealth...10 bytes (16 words) - 15:24, 13 December 2023
- 2022-05-18 Paper Mean-variance problem for an insurer with default risk under a jump-diffusion risk model 2022-05-17 Paper An upwind generalized finite difference...10 bytes (16 words) - 21:47, 9 December 2023
- with state-dependent stochastic recovery rates 2014-01-24 Paper Hedging default risks of CDOs in Markovian contagion models 2013-12-13 Paper Hedging CDO Tranches...10 bytes (18 words) - 02:08, 12 December 2023
- Econometrics of Individual Risk 2015-08-11 Paper Granularity adjustment for risk measures: systematic vs unsystematic risks 2015-07-10 Paper Pricing with...10 bytes (16 words) - 00:50, 9 December 2023
- Modeling default risk with support vector machines 2011-04-29 Paper Applied Multivariate Statistical Analysis 2011-03-18 Paper Nonparametric Risk Management...10 bytes (19 words) - 11:25, 8 December 2023
- in the Navier–Stokes equation on the torus 2019-01-08 Paper Systemic Risk and Default Clustering for Large Financial Systems 2018-12-11 Paper Importance...10 bytes (18 words) - 10:52, 11 December 2023
- investment games with default risk 2017-11-23 Paper OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL...10 bytes (16 words) - 16:27, 11 December 2023
- mortgage funding and liquidity risk 2014-09-05 Paper Bank liquidity and the global financial crisis 2012-08-06 Paper Subprime risk and insurance with regret...10 bytes (18 words) - 23:21, 11 December 2023
- and insurance risk 2008-01-07 Paper Tail asymptotics for the sum of two heavy-tailed dependent risks 2007-12-16 Paper Pricing Equity Default Swaps under...10 bytes (17 words) - 15:13, 7 December 2023
- 2021-11-16 Paper Deferred taxation under default risk 2020-03-06 Paper Optimal bailouts, bank's incentive and risk 2019-11-07 Paper Financing flexibility:...10 bytes (16 words) - 13:40, 28 January 2024
