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Paper / 2022SMQ / 215164130809793
Before and after default: information and optimal portfolio via anticipating calculus
Bernardo D'Auria / Giulia Di Nunno / José A. Salmerón
portfolio optimization / stochastic calculusResource overview

Before and after default: information and optimal portfolio via anticipating calculus

Paper2022

by Bernardo D'Auria, Giulia Di Nunno, José A. Salmerón

Tags
portfolio optimizationstochastic calculusstochastic processes

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Suggested foundations for credit and counterparty risk and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Understand what it means to condition on current information.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Counterparty Credit Risk and CVA Explore Derivatives Pricing and Computational Finance

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