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Proxying credit curves via Wasserstein distances

Matteo Michielon1,2, Asma Khedher2, Peter Spreij2,3

  • 1Quantitative Analysis and Quantitative Development, ABN AMRO Bank N.V., Gustav Mahlerlaan 10, 1082 PP Amsterdam, The Netherlands.

Annals of Operations Research
|February 23, 2022
PubMed

Keywords:
Credit default swapHarmonic meanHazard rateProxy credit curveWasserstein barycenterWasserstein distance

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