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Found 3 papers, 1 papers with code
A Markov approach to credit rating migration conditional on economic states
The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.
Risk factor aggregation and stress testing
Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio.
Hedging Cryptocurrency Options
We study the hedge behaviour and effectiveness for the class of affine jump diffusion models and infinite activity Levy processes.
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