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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

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

Counterparty risk and funding : a tale of two puzzles

Crépey, Stéphane; Bielecki, Tomasz R. - 2014

Preface Introduction The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely counterparty risk. This is the risk of non-payment of promised cash flows due to the default of a party in an over the counter (OTC) derivative...

Persistent link: https://www.econbiz.de/10010372728

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

Risk sensitive asset allocation

Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177

Persistent link: https://www.econbiz.de/10001474593

Risk sensitive asset management with transaction costs

Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10001486618

Modeling and valuation of credit risk

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431

Continuous-time-mean-variance portfolio selection with bankruptcy prohibition

Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244

Persistent link: https://www.econbiz.de/10002725425

Hedging of defaultable claims

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Paris Princeton lectures on mathematical finance 2 (2003), pp. 1-132

Persistent link: https://www.econbiz.de/10009357101

Dynmaic modelling of portfolio credit risk with common shocks

Bielecki, Tomasz R. (contributor) - 2011

Persistent link: https://www.econbiz.de/10009012001