Articles with public access mandates - Ioannis AnagnostouLearn more
Available somewhere: 6
Incorporating contagion in portfolio credit risk models using network theory
I Anagnostou, S Sourabh, D Kandhai
Complexity 2018 (1), 6076173, 2018
Mandates: European Commission
Contagious defaults in a credit portfolio: A Bayesian network approach
I Anagnostou, J Sánchez Rivero, S Sourabh, D Kandhai
Available at SSRN 3446615, 2019
Mandates: European Commission
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
I Anagnostou, T Squartini, D Kandhai, D Garlaschelli
Quantitative Finance 21 (9), 1501-1518, 2021
Mandates: Netherlands Organisation for Scientific Research, European Commission
Risk factor evolution for counterparty credit risk under a hidden markov model
I Anagnostou, D Kandhai
Risks 7 (2), 66, 2019
Mandates: European Commission
Calibrating the mean-reversion parameter in the hull-white model using neural networks
G Moysiadis, I Anagnostou, D Kandhai
ECML PKDD 2018 Workshops: MIDAS 2018 and PAP 2018, Dublin, Ireland …, 2019
Mandates: European Commission
Research Article Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
I Anagnostou, S Sourabh, D Kandhai
Mandates: European Commission
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