Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353)
From MaRDI portal
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
0 references
0 references
0 references
0 references
