| | These are all the papers that have the " 65C05 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012 Determining Marginal Contributions of the Economic Capital of Credit Risk Portfolio: An analytical approach
by Marco Morone of Intesa Sanpaolo,
Anna Cornaglia of Intesa Sanpaolo, and
Giulio Mignola of Intesa Sanpaolo
(670K PDF) -- 17 pages -- June 2012 Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(530K PDF) -- 29 pages -- November 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 Huang, Xinzheng, Cornelis W. Oosterlee, "Adaptive Integration for Multi-factor Portfolio Credit Loss Models", Journal of Computational and Applied Mathematics, Vol. 231, No. 2, (September 2009), pp. 506-516. A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Neal, Radford M., " Slice Sampling", Annals of Statistics, Vol. 31, No. 3, (June 2003), pp. 705-767.
[Home] [AMS Classification] | |
|
