3 citations · 3 across the 3 of their papers we have counts for
4 papers
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
Kevin Kamm, Michelle Muniz
In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating…
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
Kevin Kamm, Michelle Muniz
In this paper, we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we…
On the deterministic-shift extended CIR model in a negative interest rate framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR…
How to handle negative interest rates in a CIR framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model wi…