16 citations · 34 across the 6 of their papers we have counts for
7 papers
Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations
Marius Pfeuffer, Goncalo dos Reis, Greig smith
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using di…
Simulation of McKean Vlasov SDEs with super linear growth
G. dos Reis, S. Engelhardt, G. Smith
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of supe…
An unbiased Ito type stochastic representation for transport PDEs: A Toy Example
Goncalo dos Reis, Greig Smith
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation…
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of sup…
Differentiability of SDEs with drifts of super-linear growth
Peter Imkeller, Gonçalo dos Reis, William Salkeld
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin an…
Hybrid PDE solver for data-driven problems and modern branching
Francisco Bernal, Gonçalo dos Reis, Greig Smith
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to…
Robust and Consistent Estimation of Generators in Credit Risk
Greig Smith, Goncalo dos Reis
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computatio…