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

DOI10.1016/j.insmatheco.2012.06.007zbMath1284.91561OpenAlexW2007370616MaRDI QIDQ2445353

Runhuan Feng, Hans W. Volkmer

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.007

zbMATH Keywords

ruin theoryLaplace transform inversioncomplex analysisfinite-time ruin probabilitycounterparty credit riskcredit risk managementcredit value adjustmentalternative termination event

Mathematics Subject Classification ID

Related Items (4)

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ Decomposition of default probability under a structural credit risk model with jumps ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach ⋮ A revised version of the Cathcart \& El-Jahel model and its application to CDS market

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