Sumit Sourabh

University of Amsterdam

Postdoctoral Researcher

Spui 21

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

191

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Liquidity Risk in Derivatives Valuation: An Improved Credit Proxy Method

Number of pages: 31 Posted: 28 Sep 2016
Sumit Sourabh, Markus Hofer and Drona Kandhai
University of Amsterdam, ING Bank and University of Amsterdam
Downloads 145 (207,321)
Citation 1

Abstract:

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credit default swaps, liquidity risk, xVA, Value at Risk (VaR)

2.

Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Number of pages: 22 Posted: 07 Sep 2019
University of Amsterdam, University of Amsterdam, University of Amsterdam and University of Amsterdam
Downloads 46 (414,256)

Abstract:

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Portfolio Credit Risk, Bayesian Learning, Credit Default Swaps, Default Contagion, Probabilistic Graphical Models, Network Theory