Imagen de Portada

Function approximations for counterparty credit exposure calculations

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Demeterfi, Domagoj, Glau, Kathrin, Wunderlich, Linus
Formato:	Preprint
Publicado:	2025
Materias:	Computational Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
por: Peri, Ilaria, et al.
Publicado: (2026)

Systemic risk in markets with multiple central counterparties
por: Luitgard Anna Maria Veraart, et al.
Publicado: (2024)

Finding Near-Optimal Portfolios With Quality-Diversity
por: Gašperov, Bruno, et al.
Publicado: (2024)

Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
por: Kathrin Glau

Innovations in Quantitative Risk Management TU München, September 2013
por: Kathrin Glau

The role of physical models in the validation and calibration of numerical models -- The example of the Lillebælt Bridge
por: Wunderlich, Paula Apollonia, et al.
Publicado: (2026)

CAD-Integrated Electrostatic Boundary Element Simulations with Non-Conforming Higher-Order Meshes
por: Marussig, Benjamin, et al.
Publicado: (2025)

Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations
por: Agarwal, Ankush, et al.
Publicado: (2024)

Geometric Uncertainty of Patient-Specific Blood Vessels and its Impact on Aortic Hemodynamics
por: Bošnjak, Domagoj, et al.
Publicado: (2024)

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts
por: Wu, Zongxiao, et al.
Publicado: (2025)

New approximate stochastic dominance approaches for Enhanced Indexation models
por: Cesarone, Francesco, et al.
Publicado: (2024)

Quantum credit loans
por: Ardenghi, Juan Sebastian
Publicado: (2020)

A machine learning workflow to address credit default prediction
por: Rahmani, Rambod, et al.
Publicado: (2024)

Failure of Fourier pricing techniques to approximate the Greeks
por: Behrens, Tobias, et al.
Publicado: (2023)

A generalization of the rational rough Heston approximation
por: Gatheral, Jim, et al.
Publicado: (2023)

Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach
por: Hellmuth, Kathrin, et al.
Publicado: (2022)

Vault as a credit instrument
por: Zbandut, Anastasiia, et al.
Publicado: (2026)

A dimension reduction approach for loss valuation in credit risk modelling
por: He, Jian, et al.
Publicado: (2023)

Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
por: Juliá, Álvaro Guinea, et al.
Publicado: (2024)

Grouped approximate control variate estimators
por: Gorodetsky, Alex A., et al.
Publicado: (2024)

Health-promoting Potential of Parks in 35 Cities Worldwide
por: Dietz, Linus W., et al.
Publicado: (2024)

Carbon assurance: Does it have an impact on credit ratings?
por: Md Safiullah, et al.
Publicado: (2025)

A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
por: Mijatović, Aleksandar, et al.
Publicado: (2022)

Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
por: Gross, Eden, et al.
Publicado: (2025)

Exploiting Distributional Value Functions for Financial Market Valuation, Enhanced Feature Creation and Improvement of Trading Algorithms
por: Grab, Colin D.
Publicado: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
por: He, Jian, et al.
Publicado: (2025)

Assessing skin thermal injury risk in exposure tests of heating until flight
por: Wang, Hongyun, et al.
Publicado: (2024)

Decoding RWA Tokenized U.S. Treasuries: Functional Dissection and Address Role Inference
por: Luo, Junliang, et al.
Publicado: (2025)

Environmental protection tax and trade credit: Evidence from China
por: Xueyao Lu, et al.
Publicado: (2024)

The role of diversification in stabilizing bank credit over the business cycle
por: Mirzet Šeho, et al.
Publicado: (2024)

Production flexibility and trade credit under revenue uncertainty
por: Nicos Koussis, et al.
Publicado: (2024)

An approximate block factorization preconditioner for mixed-dimensional beam-solid interaction
por: Firmbach, Max, et al.
Publicado: (2024)

Enhancing path-integral approximation for non-linear diffusion with neural network
por: Knezevic, Anna
Publicado: (2024)

Competitive algorithms for calculating the ground state properties of Bose-Fermi mixtures
por: Świsłocki, Tomasz, et al.
Publicado: (2025)

Beggars cannot be choosers? Legitimacy deficiency and the use of trade credit by family firms
por: Qi Wu, et al.
Publicado: (2024)

Reliability comparison of vessel trajectory prediction models via Probability of Detection
por: Rastin, Zahra, et al.
Publicado: (2025)

Markov-Functional Models with Local Drift
por: Zhou, ShengQuan
Publicado: (2024)

Are project finance loans different from other syndicated credits?
por: Stefanie Kleimeier, et al.
Publicado: (2025)

Why do firms extend trade credit? The role of inventories
por: Filipa Da Silva Fernandes, et al.
Publicado: (2024)

A predictor-corrector scheme for approximating signed distances using finite element methods
por: Bachari, Amina El, et al.
Publicado: (2025)