Proxying credit curves via Wasserstein distances

DOI10.1007/s10479-022-04552-3zbMath1537.9134MaRDI QIDQ6549633

Peter Spreij, Asma Khedher, Matteo Michielon

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

hazard rateWasserstein distanceharmonic meancredit default swapWasserstein barycenterproxy credit curve

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Optimal transportation (49Q22)

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