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Credit default swaps and the stability of the banking sector
Heyde, Frank; Neyer, Ulrike - In: International review of finance 10 (2010) 1, pp. 27-61
Persistent link: https://www.econbiz.de/10003970493
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An optimization model for minimizing systemic risk
Castellano, Rosella; Cerqueti, Roy; Clemente, Gian Paolo; … - In: Mathematics and financial economics 15 (2021) 1, pp. 103-129
Persistent link: https://www.econbiz.de/10012433633
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Decentralized convex optimization on time-varying networks with application to Wasserstein barycenters
Yufereva, Olga; Persiianov, Michael; Dvurechensky, Pavel; … - In: Computational management science 21 (2024) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10014442638
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Procurement strategy with credit risk
Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200
Persistent link: https://www.econbiz.de/10010253593
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Profit-oriented distributionally robust chance constrained flowshop scheduling considering credit risk
Liu, Ming; Liu, Xin; Chu, Feng; Zheng, Feifeng; Chu, … - In: International journal of production research 58 (2020) 8, pp. 2527-2549
Persistent link: https://www.econbiz.de/10012265250
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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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Sample out-of-sample inference based on Wasserstein distance
Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013
Persistent link: https://www.econbiz.de/10012546913
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Adapted Wasserstein distances and stability in mathematical finance
Backhoff, Julio Daniel; Bartl, Daniel; Beiglböck, Mathias - In: Finance and stochastics 24 (2020) 3, pp. 601-632
Persistent link: https://www.econbiz.de/10012518060
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Robust arbitrage conditions for financial markets
Singh, Derek; Zhang, Shuzong - In: Operations research forum 2 (2021) 3, pp. 1-51
Persistent link: https://www.econbiz.de/10012589911
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Robust pricing in insurance and energy markets
Escobar Luna-Barrera, Debora Daniela - 2019
Prices of contracts with risky aspects are typically linked to specific uncertainties and probabilities of adverse scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution. Another example where risk is exchanged for a fixed price...
Persistent link: https://www.econbiz.de/10012392510