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

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Latest revision as of 09:08, 8 July 2024

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Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
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    Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (English)
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    14 April 2014
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    credit risk management
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    counterparty credit risk
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    credit value adjustment
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    alternative termination event
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    ruin theory
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    complex analysis
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    Laplace transform inversion
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    finite-time ruin probability
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