Optimal control of credit risk.

MaRDI QIDQ705353zbMATH OpenFDO

Authors Didier Cossin, Felipe Miguel Aparicio Acosta

Publication date 27 January 2005

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

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)

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Cited in

(6)

• Optimal control models in finance. A new computational approach.
• Optimal and admissible programs of credit control
• On the credit risk of secured loans with maximum loan-to-value covenants
• OPTIMAL CREDIT RATINGS
• THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY
• Optimizing credit risk mitigation effects of collaterals under Basel II

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