Discrete models
Ruin problems in a discrete risk model in a Markovian environment
This paper finds that the derivations in a previous paper by Yang et al (2019) are erroneous, and analyzes the risk model model correctly using the matrix analytic method.
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"