Titlebook: Optimal Control of Credit Risk; Didier Cossin,Felipe M. Aparicio Book 2001 Springer Science+Business Media Dordrecht 2001 credit risk.deri

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https://doi.org/10.1007/978-1-4615-1393-3credit risk; derivatives; modeling; pricing

寒冷

Conclusions,ed us characterize the impact of changes in the economic environment (changes in interest rates, changes in volatility) as well as the impact of changes in the control cost functions on the occurrence of controls when the credit-risk-exposed party follows an optimal control policy.

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誘導

Literature Review,often focused on optimal seizure rules for regulators, with the exception of a paper studying general management of guarantees (Merton and Bodie, 1992) and of another one studying the impact of collateral on the pricing of guarantees (Cossin and Hricko, 2000).