28 citations · 65 across the 13 of their papers we have counts for
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q-fin.RM2023
Performance attribution with respect to interest rates, FX, carry, and residual market risks
Jan-Frederik Mai
We develop a method to decompose the PnL of a portfolio of assets into four parts: (a) PnL due to FX rate changes, (b) PnL due to interest rate changes, (c) carry gain due to time…
q-fin.RM2013
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
Damiano Brigo, Jan-Frederik Mai, Matthias Scherer
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent…