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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe; Schönbucher, Philipp J. - In: Finance and stochastics 13 (2009) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10003939478
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A generalization of Panjer's recursion and numerically stable risk aggregation
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard - In: Finance and stochastics 14 (2010) 1, pp. 81-128
Persistent link: https://www.econbiz.de/10003924803
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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko; Kevkhishvili, Rusudan - In: Finance and stochastics 24 (2020) 3, pp. 795-825
Persistent link: https://www.econbiz.de/10012518100
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Optimal investment with counterparty risk : a default-density model approach
Jiao, Ying; Pham, Huyen - In: Finance and stochastics 15 (2011) 4, pp. 725-753
Persistent link: https://www.econbiz.de/10009423272
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A class of short-term models for the oil industry that accounts for speculative oil storage
Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; … - In: Finance and stochastics 26 (2022) 3, pp. 631-669
Persistent link: https://www.econbiz.de/10013440239
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Valuation of default-sensitive claims under imperfect information
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10003716260