Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6284382
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach |
scientific article; zbMATH DE number 6284382 |
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
0.7466839551925659
0 references
0.7256984114646912
0 references
0.7171204090118408
0 references
0.7131504416465759
0 references
0.7106379270553589
0 references
