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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

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

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

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

Counterparty Risk and Funding : A Tale of Two Puzzles

Crépey, Stéphane; Bielecki, Tomasz R.; Brigo, Damiano - 2020 - First edition.

Persistent link: https://www.econbiz.de/10015068875

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