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Alexander Kreinin
Alexander Kreinin
IBM, Risk Analytics and University of Toronto
Verificeret mail på bell.net
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Citeret af
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Computer-implemented method and apparatus for portfolio compression
RS Dembo, AY Kreinin, D Rosen
US Patent 6,278,981, 2001
3632001
Construction and comparison of high‐dimensional Sobol'generators
IM Sobol', D Asotsky, A Kreinin, S Kucherenko
Wilmott 2011 (56), 64-79, 2011
2182011
Regularization algorithms for transition matrices
A Kreinin, M Sidelnikova
Algo Research Quarterly 4 (1/2), 23-40, 2001
1262001
System and methods for valuing and managing the risk of credit instrument portfolios
S Aguias, B Belkin, V Farber, L Forest, A Kreinin, D Rosen, S Suchower
US Patent App. 10/044,071, 2003
105*2003
System and methods for valuing and managing the risk of credit instrument portfolios
S Aguais, B Belkin, V Farber, LR Forest Jr, A Kreinin, D Rosen, ...
US Patent 7,526,446, 2009
92*2009
Queueing systems with renovation
AY Kreinin
Journal of Applied Mathematics and Stochastic Analysis 10 (4), 431-441, 1997
551997
A simple multi-factor “factor adjustment” for the treatment of credit capital diversification
JCG Cespedes, JA de Juan Herrero, A Kreinin, D Rosen
Journal of Credit Risk 2 (3), 57-85, 2006
532006
Portfolio credit-risk optimization
I Iscoe, A Kreinin, H Mausser, O Romanko
Journal of Banking & Finance 36 (6), 1604-1615, 2012
512012
Principal component analysis in quasi monte carlo simulation
A Kreinin, L Merkoulovitch, D Rosen, M Zerbs
Algo Research Quarterly 1 (2), 21-30, 1998
441998
Randomization in the first hitting time problem
K Jackson, A Kreinin, W Zhang
Statistics & probability letters 79 (23), 2422-2428, 2009
352009
Inequalities concerning the waiting time in single-server queues: A survey
DJ Daley, AY Kreinin, CD Trengove
Oxford Statistical Science Series 1 (9), 177-177, 1992
331992
Measuring portfolio risk using quasi Monte Carlo methods
A Kreinin, L Merkoulovitch, D Rosen, M Zerbs
Algo Research Quarterly 1 (1), 17-26, 1998
261998
Default boundary problem
I Iscoe, A Kreinin
Technical report, Algorithmics Inc, 1999
251999
Valuation of synthetic CDOs
I Iscoe, A Kreinin
Journal of Banking & Finance 31 (11), 3357-3376, 2007
192007
Joint distributions in Poissonian tandem queues
FI Karpelevitch, AY Kreinin
Queueing Systems 12, 273-286, 1992
171992
Inhomogeneous random walks: applications in queueing and finance
A Kreinin
CanQueue/Fields Institute, 2003
152003
Scheduling checks and saves
LB Boguslavsky, EG Coffman Jr, EN Gilbert, AY Kreinin
ORSA Journal on Computing 4 (1), 60-69, 1992
141992
The generalized Shiryaev problem and Skorokhod embedding
S Jaimungal, A Kreinin, A Valov
Theory of Probability & Its Applications 58 (3), 493-502, 2014
112014
The generalized Shiryaev problem and Skorokhod embedding
S Jaimungal, A Kreinin, A Valov
Theory of Probability & Its Applications 58 (3), 493-502, 2014
112014
Calibration of the default probability model
A Kreinin, A Nagi
European Journal of Operational Research 185 (3), 1462-1476, 2008
112008
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Artikler 1–20