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In his research, Kees de Graaf focuses on numerical approaches to estimating credit and liquidity risk measures for derivative portfolios. He uses partial differential equations, focusing specifically on the Finite Difference Monte Carlo method for computing exposure for portfolios.

Event details of Estimating credit and liquidity risk measures
Date 13 December 2016
Time 10:00 -11:00
Location Agnietenkapel
Room Location

C.S.L. de Graaf: Efficient PDE Based Numerical Estimation of Credit and Liquidity Risk Measures for Realistic Derivative Portfolios.

Supervisor

Prof. P.M.A. Sloot

Co-supervisor

Dr B.D. Kandhai

Agnietenkapel

Room Location

Oudezijds Voorburgwal 229 - 231
1012 EZ Amsterdam

Entrance

This event is open to the public.