9 citations · 20 across the 22 of their papers we have counts for
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q-fin.PM2017
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
Lijun Bo, Huafu Liao, Xiang Yu
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching proces…
q-fin.RM2017
Risk-Minimizing Hedging of Counterparty Risk
Lijun Bo, Agostino Capponi, Claudia Ceci
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up a…