OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS

DOI10.1142/S0219024915500028zbMath1337.91123MaRDI QIDQ5245886

Guillaume Bernis, Grégoire Docq, Simone Scotti, Laurence Carassus

Publication date: 15 April 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

regime-switching modelcontinuous-time hidden Markov chaincredit assets' allocationerror theory based on Dirichlet forms

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Alternative to beta coefficients in the context of diffusions

Cites Work

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