Pages that link to "Item:Q5169987"
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The following pages link to PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (Q5169987):
Displayed 17 items.
- State dependent correlations in the Vasicek default model (Q830304) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- XVA metrics for CCP optimization (Q2173275) (← links)
- Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917) (← links)
- Exogenous shock models: analytical characterization and probabilistic construction (Q2338099) (← links)
- A Marshall-Olkin type multivariate model with underlying dependent shocks (Q2684922) (← links)
- Up and down credit risk (Q3064015) (← links)
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL (Q3643588) (← links)
- XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502) (← links)
- Stochastic approximation schemes for economic capital and risk margin computations (Q4967869) (← links)
- XVA analysis from the balance sheet (Q5014178) (← links)
- BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL (Q5051939) (← links)
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (Q5108928) (← links)
- Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178) (← links)
- A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution (Q5272895) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence (Q6187725) (← links)