no code implementations • 24 Jul 2023 • Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou, Antoine Jacquier, Lionel Sopgoui
We also compute the sensitivities of the credit risk measures with respect to changes in the carbon taxes, yielding further criteria for a more accurate assessment of climate transition risk in a credit portfolio.
no code implementations • 12 Feb 2021 • Jean-François Chassagneux, Sergey Nadtochiy, Adrien Richou
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property.
Probability
