Gower Street
London, WC1E 6BT
United Kingdom
University College London
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Risk Management, Stochastic Processes, Maximum Likelihood Estimation, Fat Tails, Mean Reversion, Monte Carlo Simulation
Asset and Liability Management (ALM), Funds Transfer Pricing Systems, Funding Costs, ALM strategy, FTP Curve, Balance Sheet, Financial Institution, Capital and Funding Management, Liquidity, VaR, ROE, WACC, Basel III
credit rating, credit migration matrices, point-in-time credit dynamics, credit cycle, dynamic credit migration correlation, continuous time-inhomogeneous, Markov chains, functional analysis
implied credit rating, point-in-time credit dynamics, dynamic correlated defaults, local correlation, credit cycle, market state dependent recovery, credit risk premia, asymmetric variance gamma process, continuous time-inhomogeneous Markov chains, functional analysis
Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators
Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra
Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra
Metropolis, Metropolis-Hastings Sampler, Blockwise Sampler, Component-wise Sampler, Gibbs Sampler, Hybrid Markov Chain Monte Carlo, Hamiltonian MCMC
