Optimal credit allocation under regime uncertainty with sensitivity analysis
Guillaume Bernis; Laurence Carassus; Grégoire Docq; Simone Scotti
| Year of publication: |
2015
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|---|---|
| Authors: | Bernis, Guillaume ; Carassus, Laurence ; Docq, Grégoire ; Scotti, Simone |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 1, p. 1-27
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| Subject: | Credit assets' allocation | regime-switching model | error theory based on Dirichlet forms | continuous-time hidden Markov chain | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403164