AMS Classification 60G70
"Extreme value theory; extremal processes"These are all the papers that have the " 60G70 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012 Scaling Of High-Quantile Estimators
by Matthias Degen of ETH Zurich, and
Paul Embrechts of ETH Zurich
(275K PDF) -- 28 pages -- March 2009 Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
by Paul Embrechts of ETH Zurich,
Dominik D. Lambrigger of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(509K PDF) -- 28 pages -- February 12, 2009 A Jump to Default Extended CEV Model: An application of Bessel processes
by Peter Carr of Bloomberg & NYU Courant Institute, and
Vadim Linetsky of Northwestern University
(284K PDF) -- 25 pages -- September 2006
[Home] [AMS Classification] | 
