Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market (Q4555081): Difference between revisions

Latest revision as of 10:55, 17 July 2024

scientific article; zbMATH DE number 6981194

Language	Label	Description	Also known as
English	Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market	scientific article; zbMATH DE number 6981194

Statements

instance of

scholarly article

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title

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market (English)

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zbMATH Open document ID

1402.91838

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DOI

10.1080/14697688.2016.1189590

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author

Graziella Pacelli

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Davide Radi

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Luca Vincenzo Ballestra

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published in

Quantitative Finance

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publication date

19 November 2018

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Mathematics Subject Classification ID

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default risk

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survival probability

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Madan-Unal model

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credit default swap

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describes a project that uses

DLMF

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Algorithm 368

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2016.1189590

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0 references

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Computation of Exponential Integrals

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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model

0 references

Valuing risky debt: a new model combining structural information with the reduced-form approach

0 references

Risk management in credit risk portfolios with correlated assets.

0 references

Market value of life insurance contracts under stochastic interest rates and default risk

0 references

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

0 references

Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.

0 references

Q4078981

0 references

Implied recovery

0 references

Numerical inversion of the Laplace transform: a survey and comparison of methods

0 references

Term Structures of Credit Spreads with Incomplete Accounting Information

0 references

Mathematics of financial markets.

0 references

Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

0 references

A unified approach to pricing and risk management of equity and credit risk

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Default and information

0 references

Pricing the risks of default: a note on Madan and Unal

0 references

Finite-time survival probability and credit default swaps pricing under geometric Lévy markets

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Q4794126

0 references

Review of inverse Laplace transform algorithms for Laplace-space numerical approaches

0 references

On the Convergence of the Gaver--Stehfest Algorithm

0 references

Pricing the risks of default

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

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