Dynamic investment and counterparty risk

DOI10.1007/s00245-016-9364-2zbMath1395.91477OpenAlexW2410709362MaRDI QIDQ1705168

Agostino Capponi, Li Jun Bo

Publication date: 14 March 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-016-9364-2

zbMATH Keywords

dynamic programmingcounterparty riskcredit default swaps

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Related Items (2)

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

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