OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS
Year of publication: |
2015
|
---|---|
Authors: | BERNIS, GUILLAUME ; CARASSUS, LAURENCE ; DOCQ, GRÉGOIRE ; SCOTTI, SIMONE |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 18.2015, 01, p. 1550002-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit assets' allocation | regime-switching model | error theory based on Dirichlet forms | continuous-time hidden Markov chain |
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