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  • Search: subject:"error theory based on Dirichlet forms"
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Subject
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Credit assets' allocation 2 continuous-time hidden Markov chain 2 error theory based on Dirichlet forms 2 regime-switching model 2 Credit risk 1 Kreditrisiko 1 Markov chain 1 Markov-Kette 1 Portfolio selection 1 Portfolio-Management 1 Sensitivity analysis 1 Sensitivitätsanalyse 1 Theorie 1 Theory 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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BERNIS, GUILLAUME 1 Bernis, Guillaume 1 CARASSUS, LAURENCE 1 Carassus, Laurence 1 DOCQ, GRÉGOIRE 1 Docq, Grégoire 1 SCOTTI, SIMONE 1 Scotti, Simone 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS
BERNIS, GUILLAUME; CARASSUS, LAURENCE; DOCQ, GRÉGOIRE; … - In: International Journal of Theoretical and Applied … 18 (2015) 01, pp. 1550002-1
We consider the problem of credit allocation in a regime-switching model. The global evolution of the credit market is driven by a benchmark, the drift of which is given by a two-state continuous-time hidden Markov chain. We apply filtering techniques to obtain the diffusion of the credit assets...
Persistent link: https://www.econbiz.de/10011279135
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Optimal credit allocation under regime uncertainty with sensitivity analysis
Bernis, Guillaume; Carassus, Laurence; Docq, Grégoire; … - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011403164
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