53 citations · 134 across the 31 of their papers we have counts for
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q-fin.RM2018★ 2 cited
A Dynamic Model of Central Counterparty Risk
Tomasz R. Bielecki, Igor Cialenco, Shibi Feng
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its…
math.PR2018
Semimartingales and Shrinkage of Filtration
Tomasz R. Bielecki, Jacek Jakubowski, Monique Jeanblanc +1
We consider a complete probability space , which is endowed with two filtrations, and , assumed to satisfy the usual conditions…
math.PR2018★ 4 cited
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investiga…