Stochastic Sensitivity Study for Optimal Credit allocation.

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Authors
Publication date
2013
Publication type
Other
Summary In this paper we present the detail computations involved in: Bernis, G. Carassus, L. Docq, G. and S. Scotti (2013), Optimal Credit Allocation under Regime Uncertainty with Sensitivity Analysis. First we propose a quick presentation of the methodology developed by Bouleau. Then, we apply this method to the problem of optimal credit allocation problem.
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