2 citations · 3 across the 2 of their papers we have counts for
3 papers
q-fin.RM2024
Calibration of the rating transition model for high and low default portfolios
Jian He, Asma Khedher, Peter Spreij
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models ar…
cs.CE2023★ 1 cited
A dimension reduction approach for loss valuation in credit risk modelling
Jian He, Asma Khedher, Peter Spreij
This paper addresses the ``curse of dimensionality'' in the loss valuation of credit risk models. A dimension reduction methodology based on the Bayesian filter and smoother is pro…
q-fin.MF2021★ 2 cited
Liquidity-free implied volatilities: an approach using conic finance
Matteo Michielon, Asma Khedher, Peter Spreij
We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an ap…