Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353): Difference between revisions
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Revision as of 08:48, 14 February 2024
scientific article
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| English | 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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