Proxying credit curves via Wasserstein distances

DOI10.1007/S10479-022-04552-3MaRDI QIDQ6549633zbMATH OpenFDO

Authors Matteo Michielon, Asma Khedher, Peter Spreij

Publication date 4 June 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04552-3

zbMATH Keywords

credit default swapharmonic meanhazard rateproxy credit curveWasserstein barycenterWasserstein distance

Mathematics Subject Classification ID

Optimal transportation (49Q22) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• An invitation to statistics in Wasserstein space
• Asymptotic methods in statistical decision theory
• Barycenters in the Wasserstein space
• Computational methods for martingale optimal transport problems
• Gradient flows in metric spaces and in the space of probability measures
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• scientific article; zbMATH DE number 7370561 (Why is no real title available?)
• Image labeling based on graphical models using Wasserstein messages and geometric assignment
• Implied recovery
• Liquidity risk in derivatives valuation: an improved credit proxy method
• On Information and Sufficiency
• Optimal Transport
• Pricing derivative credit risk
• Wasserstein Barycenters Are NP-Hard to Compute
• Wasserstein Riemannian geometry of Gaussian densities

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