4 citations · 6 across the 4 of their papers we have counts for
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q-fin.MF2020
Distributionally Robust Newsvendor with Moment Constraints
Derek Singh, Shuzhong Zhang
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infi…
q-fin.MF2019★ 1 cited
Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk
Derek Singh, Shuzhong Zhang
This paper investigates calculations of robust funding valuation adjustment (FVA) for over the counter (OTC) derivatives under distributional uncertainty using Wasserstein distance…
q-fin.MF2019
Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk
Derek Singh, Shuzhong Zhang
This paper investigates calculations of robust XVA, in particular, credit valuation adjustment (CVA) and funding valuation adjustment (FVA) for over-the-counter derivatives under d…