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Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Veremyev, Alexander
;
Tsyurmasto, Peter
;
Uryasev, Stan
; …
- In:
Computational Management Science : CMS
11
(
2014
)
4
,
pp. 341-364
Persistent link: https://www.econbiz.de/10010437154
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2
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
Rockafellar, Ralph Tyrrell
;
Royst, Johannes O.
; …
- In:
European journal of operational research : EJOR
234
(
2014
)
1
,
pp. 140-154
Persistent link: https://www.econbiz.de/10010247347
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan
(
ed.
)
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2000
Persistent link: https://www.econbiz.de/10001510446
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4
Derivatives and subderivatives of buffered probability of exceedance
Zhang, Tong
;
Uryasev, Stan
;
Guan, Yongpei
- In:
Operations research letters
47
(
2019
)
2
,
pp. 130-132
Persistent link: https://www.econbiz.de/10012003278
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5
Estimation and asymptotics for buffered probability of exceedance
Mafusalov, Alexander
;
Shapiro, Alexander
;
Uryasev, Stan
- In:
European journal of operational research : EJOR
270
(
2018
)
3
,
pp. 826-836
Persistent link: https://www.econbiz.de/10011882603
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A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
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