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Paper / 2023SMQ / 212512371916103
Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation
Clara Lage / Emmanuel Gobet
credit risk / numerical methodsResource overview

Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Paper2023

by Clara Lage, Emmanuel Gobet

Tags
credit risknumerical methodsoptimization

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Suggested foundations for optimisation and numerical methods and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

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

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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

Explore Linear Algebra, Optimisation and Numerical Methods Explore Counterparty Credit Risk and CVA

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