Stochastic Sensitivity Study for Optimal Credit allocation

Abstract : 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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https://hal.archives-ouvertes.fr/hal-00795522
Contributor : Simone Scotti <>
Submitted on : Thursday, February 28, 2013 - 12:35:37 PM
Last modification on : Wednesday, May 15, 2019 - 3:46:59 AM
Long-term archiving on: Wednesday, May 29, 2013 - 4:40:08 AM

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  • HAL Id : hal-00795522, version 1

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Laurence Carassus, Simone Scotti. Stochastic Sensitivity Study for Optimal Credit allocation. 2013. ⟨hal-00795522⟩

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