Stochastic sensitivity study for optimal credit allocation

DOI10.1142/9789814602075_0008MaRDI QIDQ3195066zbMATH OpenOpenAlexFDO

Authors Simone Scotti, Laurence Carassus

Publication date 21 October 2015

Published in Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814602075_0008

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(2)

• Optimal and admissible programs of credit control
• Optimal credit allocation under regime uncertainty with sensitivity analysis

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