AMS Classification 62P05
"Applications to actuarial sciences and financial mathematics"These are all the papers that have the " 62P05 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 Will Central Counterparties become the New Rating Agencies?
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(86K PDF) -- 6 pages -- November 28, 2012 CDS Pricing under Basel III: Capital relief and default protection
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(812K PDF) -- 16 pages -- November 22, 2012 Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 Bounds for Rating Override Rates
by Dirk Tasche of Financial Services Authority, UK
(495K PDF) -- 20 pages -- June 13, 2012 Castellano, Rosella, Rosella Giacometti, "Credit Default Swaps: Implied ratings versus official ones", 4OR: A Quarterly Journal of Operations Research, Vol. 10, No. 2, (June 2012), pp. 163-180. Bayesian Estimation of Probabilities of Default for Low Default Portfolios
by Dirk Tasche of Financial Services Authority, United Kingdom
(552K PDF) -- 29 pages -- April 5, 2012 Capital allocation for credit portfolios under normal and stressed market conditions
by Norbert Jobst of Lloyds Banking Group, and
Dirk Tasche of Lloyds Banking Group
(160K PDF) -- 13 pages -- March 10, 2012 Validation of Credit Default Probabilities via Multiple Testing Procedures
by Sebastian Döhler of the University of Applied Sciences Darmstadt
(757K PDF) -- 35 pages -- June 25, 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
by Paul Embrechts of ETH Zurich,
Dominik D. Lambrigger of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(509K PDF) -- 28 pages -- February 12, 2009 Flexing the Default Barrier
by Gregor Dorfleitner of Vienna University of Economics and Business Administration,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Veža of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007 Mathematics in Financial Risk Management
by Ernst Eberlein of the Universität Freiburg,
Rüdiger Frey of the Universität Leipzig,
Michael Kalkbrener of Deutsche Bank AG, and
Ludger Overbeck of Universität Giessen
(381K PDF) -- 25 pages -- March 31, 2007 A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
by Yunfen Bai of Shanghai Jiaotong University & Shijiazhuang College,
Xinhua Hu of Shanghai Jiaotong University, and
Zhongxing Ye of Shanghai Jiaotong University
(154K PDF) -- 8 pages -- January 2007
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