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Credit risk models with incomplete information
Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematics of operations research 34 (2009) 2, pp. 320-332
Persistent link: https://www.econbiz.de/10003870282
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Robust optimization of credit portfolios
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011654555
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Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
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Risk-sensitive asset management and cascading defaults
Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011818644