Optimal control of credit risk.

zbMATH Open1054.91049MaRDI QIDQ705353FDOQ705353

Authors: Didier Cossin, Felipe Miguel Aparicio Acosta 

Publication date: 27 January 2005

Published in: Advances in Computational Management Science (Search for Journal in Brave)

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Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)

Cited In (5)

• Optimizing credit risk mitigation effects of collaterals under Basel II
• Optimal control models in finance. A new computational approach.
• Optimal and admissible programs of credit control
• OPTIMAL CREDIT RATINGS
• THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY

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