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Markov chain models of portfol...
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Markov chain
Credit risk
52
Theorie
50
Theory
50
Kreditrisiko
47
Portfolio selection
36
Portfolio-Management
36
Risikomanagement
24
Kreditderivat
23
Risk management
23
Credit derivative
22
Derivat
21
Derivative
21
Markov-Kette
16
Option pricing theory
15
Optionspreistheorie
15
Hedging
14
Stochastic process
11
Stochastischer Prozess
11
Risiko
10
Risikomaß
10
Risk
10
Risk measure
10
intensity-based models
9
Multivariate Verteilung
7
Multivariate distribution
7
Asset-Backed Securities
6
Asset-backed securities
6
CAPM
6
Counterparty risk
6
Credit insurance
6
Kreditgeschäft
6
Kreditversicherung
6
Markov jump processes
6
Estimation theory
5
Matrix-analytic methods
5
Schätztheorie
5
Bank risk
4
Bankrisiko
4
CDS
4
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5
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11
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7
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7
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4
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Arbeitspapier
3
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English
16
Author
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Bielecki, Tomasz R.
12
Herbertsson, Alexander
8
Crépey, Stéphane
6
Cousin, Areski
4
Cialenco, Igor
3
Jeanblanc, Monique
3
Rutkowski, Marek
3
Bielelcki, Tomasz R.
1
Chen, Tao
1
Crépey, S.
1
Crépy, Stéphane
1
Feng, Shibi
1
Ruszczyński, Andrzej P.
1
Zargari, B.
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International journal of theoretical and applied finance
3
Working papers in economics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Financial engineering
1
Mathematical methods of operations research : ZOR
1
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
1
Review of derivatives research
1
The Oxford handbook of credit derivatives
1
The credit derivatives handbook : global perspectives, innovations, and market drivers
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ECONIS (ZBW)
16
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1
A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 25-49)
.
2014
Persistent link: https://www.econbiz.de/10010359909
Saved in:
2
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
Saved in:
3
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
4
Valuation of basket credit derivatives in the credit migrations environment
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Financial engineering
,
(pp. 471-507)
.
2008
Persistent link: https://www.econbiz.de/10003567710
Saved in:
5
Dynmaic modelling of portfolio credit risk with common shocks
Bielecki, Tomasz R.
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009012001
Saved in:
6
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
7
Multiple ratings model of defaultable term structure
Bielecki, Tomasz R.
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 125-139
Persistent link: https://www.econbiz.de/10002177192
Saved in:
8
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
9
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Saved in:
10
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Ruszczyński, …
- In:
Mathematical methods of operations research : ZOR
98
(
2023
)
2
,
pp. 231-268
Persistent link: https://www.econbiz.de/10014423851
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