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11/01/2022
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
In this paper, we model the rating process of an entity by using a geome...
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05/31/2022
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
In this paper, we introduce a novel methodology to model rating transiti...
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02/08/2021
