output
20032026
most citedKnowledge Graphs

1.8k citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2009Show all

4 papers · 1 filter

cs.NE2009★ 3 cited

Evolutionary estimation of a Coupled Markov Chain credit risk model

Ronald Hochreiter, David Wozabal

There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a…

q-fin.RM2009★ 29 cited

A Coupled Markov Chain Approach to Credit Risk Modeling

David Wozabal, Ronald Hochreiter

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating tra…

math.PR2009

A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov

We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermaye…

math.PR2009

On strong solutions for positive definite jump-diffusions

Eberhard Mayerhofer, Oliver Pfaffel, Robert Stelzer

We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes aff…