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Calibration and implementation of convertible bond models

Andersen, Leif B. G.; Buffum, Dan - In: The journal of computational finance 7 (2003/2004) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10001908028

A new framework for dynamic credit portfolio loss modelling

Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197

Persistent link: https://www.econbiz.de/10003703072

A New Framework for Dynamic Credit Portfolio Loss Modelling

Sidenius, Jakob - 2009

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...

Persistent link: https://www.econbiz.de/10013153467

Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties

Andersen, Leif; Dickinson, Andrew - In: The journal of financial market infrastructures 7 (2019) 4, pp. 27-70

Persistent link: https://www.econbiz.de/10012104989

Efficient risk estimation via nested sequential simulation

Broadie, Mark; Du, Yiping; Moallemi, Ciamac Cyrus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1172-1194

Persistent link: https://www.econbiz.de/10009238212

High-dimensional portfolio optimization with transaction costs

Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49

Persistent link: https://www.econbiz.de/10011523840

Numerical solutions to dynamic portfolio problems with upper bounds

Broadie, Mark; Shen, Weiwei - In: Computational Management Science : CMS 14 (2017) 2, pp. 215-227

Persistent link: https://www.econbiz.de/10011710759