Stochastic Sensitivity Study for Optimal Credit Allocation

DOI10.1142/9789814602075_0008zbMath1325.91055OpenAlexW2497365343MaRDI QIDQ3195066

Simone Scotti, Laurence Carassus

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814602075_0008

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS

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