Chapter 9 Measuring and marking counterparty risk (2009)
Eduardo Canabarro, Head Credit, Quantitative Risk Modeling, Goldman Sachs, Darrell Duffie
The volume of outstanding OTC derivatives has grown exponentially over the past 15 years. Market surveys conducted by the International Swaps and Derivatives Association (ISDA) show notional amounts...
Advisory Group on Educing Information (2008)
Robert A. Fein, Ph. D, David Becker, Defense Intelligence Agency, Robert Mcfadden, Counterintelligence Field Activity, ...
leaders on emerging scientifi c and technical issues of special importance to the Intelligence Community. The mission of the Board is to provide the Intelligence Community with outside expert advice...
William J. Mayew, Michael Clement, Robert Freeman, Lisa Koonce, Mary Lea, Chris Parsons, ...
comments. Adam Brown, Liwen Chen and Nick Wellinghoff provided competent assistance in coding text extraction and matching algorithms. I thank StreetEvents/Thomson Financial for the conference call...
INFORMATION MEMORANDUM TELEFÓNICA EUROPE B.V. (2004)
Morgan Stanley, Abn Amro, Banco Bilbao, Vizcaya Argentaria, Goldman Sachs, International Jpmorgan, ...
(a private company with limited liability incorporated under the laws of The Netherlands with its corporate seat at Rotterdam) guaranteed by TELEFÓNICA, S.A. (incorporated with limited liability in...
On De Finetti Coherence and Kolmogorov Probability (2004)
Vivek S. Borkar, Vijay R. Konda, Goldman Sachs, Sanjoy K. Mitter
This article addresses the problem of existence of a countably additive probability measure in the sense of Kolmogorov that is consistent with a probability assignment to a family of sets which is...
International Workplace Studies Program Sponsor Organizations (2001)
Goldman Sachs, Hewlett Packard, Jp Morgan Chase, Morgan Stanley
Master’s thesis as part of the International Workplace Studies Program’s (IWSP) overall research theme Workplace Strategies for Dynamic Organizations. I am indebted to Kelley Dallas, Amit Ramani...
Caterpillar, Inc. BOARD OF GOVERNORS (2000)
Ian M. Roll, Michael J. Alley, Hugh A. Barker, Joseph D. Barnette, John R. Sampson, Michael G. Browning, ...
Pricing American options by simulation using a stochastic mesh with optimized weights (2000)
Mark Broadie, Paul Glasserman, Goldman Sachs
This paper develops a simulation method for pricing path-dependent American options, and American options on a large number of underlying assets, such as basket options. Standard numerical procedures...