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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

Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

Selecting credit portfolios for collateralized loan obligation transactions : a heuristic algorithm

Westerfeld, Simone; Weber, Frithjof - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 65-82

Persistent link: https://www.econbiz.de/10003927494

Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach

Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997

Persistent link: https://www.econbiz.de/10000646551

Optimal securitization of credit portfolios via impulse control

Frey, Rüdiger; Seydel, Roland C. - In: Mathematics and financial economics 4 (2010) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10008807103

Optimal Securitization of Credit Portfolios via Impulse Control

Seydel, Roland C. - 2010

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …

Persistent link: https://www.econbiz.de/10013135270

Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

Intraday power trading : toward an arms race in weather forecasting?

Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10014226371

Integer extended ABS algorithms and possible control of intermediate results for linear Diophantine systems

Khorramizadeh, Mostafa; Mahdavi-Amiri, Nezam - In: 4OR : a quarterly journal of operations research 7 (2009) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10003856162