An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account

DOI10.1007/s00791-015-0258-7zbMath1390.91316MaRDI 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

zbMATH Keywords

discretization; finite volume method; default probability; cash-flow driven project finance; mean reversion process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G40: Credit risk

65M08: Finite volume methods for initial value and initial-boundary value problems involving PDEs