2 papers
q-fin.MF2019
A bank salvage model by impulse stochastic controls
Francesco Cordoni, Luca Di Persio, Yilun Jiang
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a…
q-fin.PR2015
A Quantization Approach to the Counterparty Credit Exposure Estimation
M. Bonollo, L. Di Persio, I. Oliva +1
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfi…