Probability density of recovery rate given default of a firm's debt and its constituent tranches

von Chellathurai, Thamayanthi
Veröffentlicht in International journal of theoretical and applied finance (2017)

Modeling lifetime expected credit losses on bank loans

von Chellathurai, Thamayanthi
Veröffentlicht in International journal of theoretical and applied finance (2021)

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

von Chellathurai, Thamayanthi
Veröffentlicht in Journal of economic dynamics & control (2007)