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value adjustments
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In the Wake of the Financial Crisis - Regulators' and Investors' Perspectives
Keyword:
financial crisis
,
contagion
,
systemic risk
,
backward stochastic differential equations
,
value adjustments
,
interbank networks
,
Eisenberg–Noe clearing vector
,
option pricing
,
arbitrage pricing
, and
sensitivity analysis
Creator:
Pang, Weijie
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2019-04-23
Resource Type:
Dissertation
Degree:
PhD
Unit (Department):
Mathematical Sciences
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PhD Dissertations
1
Year
2019
1
Creator
Pang, Weijie
1
Advisor
Sturm, Stephan
1
Contributor
Capponi, Agostino
1
Cialenco, Igor
1
Sturm, Stephan
1
Wang, Gu
1
Unit (Department)
Mathematical Sciences
1
Publisher
Worcester Polytechnic Institute
1
Resource type
Dissertation
1
