ESRs presentations
- https://wsc.project.cwi.nl/abcxva/events/esrs-presentations
- ESRs presentations
- 2021-10-22T14:00:00+02:00
- 2021-10-22T16:00:00+02:00
- When Oct 22, 2021 from 02:00 PM to 04:00 PM (Europe/Amsterdam / UTC200)
- Where online
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Program
14:00-14:25 Felix Wolf, Stochastic modelling of the collateral choice option and its practical implications, slides
14:30-14:55 Kevin Kamm, An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework, slides
15:00-15:25 Kristoffer Andersson, Robust machine learning algorithms for strongly coupled FBSDEs, slides
15:30-15:45 tea break
15:45-16:10 Robert Simonella, A Stochastic Asset-Liability Management Model for Life Insurance Companies, slides
16:15-16:40 Luis Souto Arias, Modelling jump clusters from Polya urns with limited memory, slides