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

Latest revision as of 09:55, 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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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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zbMATH Keywords

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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cites work

Q3331506

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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

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

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Risk management in credit risk portfolios with correlated assets.

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

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

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

0 references

Q4078981

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Implied recovery

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

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Term Structures of Credit Spreads with Incomplete Accounting Information

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Mathematics of financial markets.

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

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

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Default and information

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

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

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Q4794126

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

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On the Convergence of the Gaver--Stehfest Algorithm

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Pricing the risks of default

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0 references

0 references

0 references

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Identifiers

zbMATH Open document ID

1402.91838

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DOI

10.1080/14697688.2016.1189590

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4555081

@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of Exponential Integrals
@@ Property / cites work: Computation of Exponential Integrals / rank @@
+Normal rank
@@ Property / cites work @@
+A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
+Normal rank
@@ Property / cites work @@
+Valuing risky debt: a new model combining structural information with the reduced-form approach
+Normal rank
@@ Property / cites work @@
+Risk management in credit risk portfolios with correlated assets.
+Normal rank
@@ Property / cites work @@
+Market value of life insurance contracts under stochastic interest rates and default risk
+Normal rank
@@ Property / cites work @@
+Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
+Normal rank
@@ Property / cites work @@
+Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
+Normal rank
@@ Property / cites work @@
+Q4078981
@@ Property / cites work: Q4078981 / rank @@
+Normal rank
@@ Property / cites work @@
+Implied recovery
@@ Property / cites work: Implied recovery / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical inversion of the Laplace transform: a survey and comparison of methods
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+Mathematics of financial markets.
@@ Property / cites work: Mathematics of financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
+Normal rank
@@ Property / cites work @@
+A unified approach to pricing and risk management of equity and credit risk
+Normal rank
@@ Property / cites work @@
+Default and information
@@ Property / cites work: Default and information / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing the risks of default: a note on Madan and Unal
+Normal rank
@@ Property / cites work @@
+Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Review of inverse Laplace transform algorithms for Laplace-space numerical approaches
+Normal rank
@@ Property / cites work @@
+On the Convergence of the Gaver--Stehfest Algorithm
+Normal rank
@@ Property / cites work @@
+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
+Normal rank
@@ Property / cites work @@
+Q3151170
@@ Property / cites work: Q3151170 / rank @@
+Normal rank
@@ Property / cites work @@
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@@ Property / cites work: Q4223616 / rank @@
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@@ Property / cites work @@
+Q3592129
@@ Property / cites work: Q3592129 / rank @@
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+Q3184722
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+Q3416999
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