Karina Perilioglu
Karina Perilioglu is a manager of required capital assumptions and methodology team for Aviva PLC, London. She specialises in credit risk model calibration and development and holds a Ph.D. in mathematics and an M.Sc. and B.Sc. in financial and actuarial mathematics.
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Articles by Karina Perilioglu
A risk-sensitive approach for stressed transition probability matrixes
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.