Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353): Difference between revisions

@@ Property / author @@
-Hans W. Volkmer
@@ Property / author: Hans W. Volkmer / rank @@
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@@ Property / author @@
+Hans W. Volkmer
@@ Property / author: Hans W. Volkmer / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2012.06.007
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@@ Property / OpenAlex ID @@
+W2007370616
@@ Property / OpenAlex ID: W2007370616 / rank @@
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
+Normal rank
@@ Property / cites work @@
+Approximations for the probability of ruin within finite time
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
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@@ Property / cites work @@
+On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
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+On the expectation of total discounted operating costs up to default and its applications
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+Finite time ruin problems for the Erlang\((2)\) risk model
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+The Density of the Time to Ruin in the Classical Poisson Risk Model
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+Q4765076
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+An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
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+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
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@@ Property / cites work @@
+Q5480304
@@ Property / cites work: Q5480304 / rank @@
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@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
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@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
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+Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
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+Option pricing when underlying stock returns are discontinuous
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@@ Property / cites work @@
+DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS
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@@ links / mardi / name / links / mardi / name @@
+Publication:2445353