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

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Finite time ruin problems for the Erlang\((2)\) risk model
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS
• Approximations for the probability of ruin within finite time
• First passage times of a jump diffusion process
• Numerical Inversion of Laplace Transforms of Probability Distributions
• On the expectation of total discounted operating costs up to default and its applications
• Option pricing when underlying stock returns are discontinuous
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Arbitrage Theory in Continuous Time
• On the Time Value of Ruin
• Credit risk: Modelling, valuation and hedging