Delia Coculescu

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

223

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

On the fragility of mutual insurance arrangements

Number of pages: 37 Posted: 20 Mar 2021 Last Revised: 10 May 2022
University of Zurich - Department of Banking and Finance, affiliation not provided to SSRN and University of Zurich - Institute of Mathematics
Downloads 98 (490,310)

Abstract:

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systemic risk, risk sharing, insurance, stochastic games in continuous time, inefficiencies of Nash equilibria, interbank lending.

Endogenous Trading in Credit Default Swaps

Number of pages: 31 Posted: 14 Jul 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Downloads 81 (558,584)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

Endogenous Trading in Credit Default Swaps

Posted: 23 Jun 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

3.

A Default System with Overspilling Contagion

Number of pages: 28 Posted: 25 Sep 2017 Last Revised: 13 Jan 2022
Delia Coculescu
University of Zurich - Department of Banking and Finance
Downloads 44 (744,901)

Abstract:

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default risk, default contagion, interacting intensities, non Markovian model