Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q405354 |
||
| Property / author | |||
| Property / author: Hans W. Volkmer / rank | |||
Revision as of 07:48, 14 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach |
scientific article |
Statements
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (English)
0 references
14 April 2014
0 references
credit risk management
0 references
counterparty credit risk
0 references
credit value adjustment
0 references
alternative termination event
0 references
ruin theory
0 references
complex analysis
0 references
Laplace transform inversion
0 references
finite-time ruin probability
0 references
