An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account
DOI10.1007/S00791-015-0258-7zbMath1390.91316OpenAlexW2291007088MaRDI QIDQ1685063
Christian Wagner, Stiene Riemer
Publication date: 13 December 2017
Published in: Computing and Visualization in Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00791-015-0258-7
discretizationfinite volume methoddefault probabilitycash-flow driven project financemean reversion process
Numerical methods (including Monte Carlo methods) (91G60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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