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Showing 1 to 3 of 3 for “"Regime switch"”.
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Utility Indifference Pricing of Credit Instruments
… The emphasis lies on a hybrid model, in which a regime switch of the reference entity is triggered by a creditworthiness index correlated to its stock price. The second part generalizes this setup by introducing uncertainty in the model parameters. Robust optimal control has been used …
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… based on robust portfolio optimization under regime switches. For this purpose, the Markov chain process is embedded into robust optimization procedure in order to stress regime transition matrix. In addition, assets returns, volatilities, correlation matrix and covariance matrix can be …