Optimal Design of Dynamic Default Risk Measures

DOI10.1239/JAP/1354716651MaRDI QIDQ4903036zbMATH OpenOpenAlexFDO

Authors Leo Shen, Robert J. Elliott

Publication date 19 January 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1354716651

zbMATH Keywords

backward stochastic differential equationinf-convolutionminimal riskdynamic entropic risk measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• scientific article; zbMATH DE number 2133102
• Optimization of risk measures
• General dynamic term structures under default risk
• Valuation and optimal design to defaultable security
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Dynamic risk measures under model uncertainty
• The optimal analysis of default probability for a credit risk model
• Optimal design of default risk reinsurance under general premium principle
• Optimal investment and pricing in the presence of defaults

Cites work

• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• scientific article; zbMATH DE number 5117421 (Why is no real title available?)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• A general theory of finite state backward stochastic difference equations
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations for a single jump process
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Solutions of backward stochastic differential equations on Markov chains
• Stochastic finance. An introduction in discrete time
• The Representation of Martingales of Jump Processes

Cited in

(6)

• Discrete-time BSDEs with random terminal horizon
• The entropic measure transform
• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• Optimal bespoke CDO design via NSGA-II
• scientific article; zbMATH DE number 1642331 (Why is no real title available?)
• Inf-convolution of risk measures and optimal risk transfer

This page was built for publication: Optimal Design of Dynamic Default Risk Measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4903036)