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.
C.S.L. de Graaf: Efficient PDE Based Numerical Estimation of Credit and Liquidity Risk Measures for Realistic Derivative Portfolios.
Prof. P.M.A. Sloot
Dr B.D. Kandhai
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