The challenge in managing new financial risks: adopting an heuristic or theoretical approach

DOI10.1007/S10479-016-2231-3zbMATH Open1406.91472OpenAlexW2417773726MaRDI QIDQ513101FDOQ513101

Authors: Pascal Damel, Nadège Peltre, Le Thi Hoai An 

Publication date: 3 March 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2231-3

Recommendations

• Scientific methodology to model liquidity risk in UCITS funds with an asset liability approach: a global response to financial and prudential requirements
• A liquidity analysis of financial derivative products based on structural models
• Credit risk assessment: a challenge for financial institutions
• scientific article; zbMATH DE number 2175102
• Financial risk measurement and management

zbMATH Keywords

liquidity riskfinancial crisiscontingent approachcredit risk modeinterest rate stochastic process

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
• Convex analysis approach to d. c. programming: Theory, algorithms and applications
• An equilibrium characterization of the term structure
• Continuous Auctions and Insider Trading
• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
• Corporate credit risk prediction under stochastic volatility and jumps
• Solving an infinite-horizon discounted Markov decision process by DC programming and DCA
• The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds *

Cited In (10)

• Title not available (Why is that?)
• Scientific methodology to model liquidity risk in UCITS funds with an asset liability approach: a global response to financial and prudential requirements
• A managerial approach to risk theory: Some suggestions from the theory of financial desicions
• Research on social causes of the financial crisis
• Optimal feedback control of stock prices under credit risk dynamics
• Embracing change: financial informatics and risk analytics
• Credit risk assessment: a challenge for financial institutions
• Identifying Fintech risk through machine learning: analyzing the Q&A text of an online loan investment platform
• The problem with current accounting: a critique of SFAS 115 and SFAS 133 using an equity-indexed annuity example
• A liquidity analysis of financial derivative products based on structural models

This page was built for publication: The challenge in managing new financial risks: adopting an heuristic or theoretical approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q513101)