Extending the Merton model with applications to credit value adjustment.
Erdinc AkyildirimAlper A. HekimogluAhmet SensoyFrank J. FabozziPublished in: Ann. Oper. Res. (2023)
Keyphrases
- computational model
- management system
- experimental data
- high level
- formal model
- statistical model
- mathematical model
- theoretical analysis
- access control
- probabilistic model
- prior knowledge
- input data
- least squares
- theoretical framework
- evolutionary algorithm
- bayesian networks
- similarity measure
- sensitivity analysis
- simulation model
- data sets
- network model