Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

DOI10.1016/J.INSMATHECO.2012.06.007MaRDI QIDQ2445353zbMATH OpenOpenAlexFDO

Authors 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

alternative termination eventcomplex analysiscounterparty credit riskcredit risk managementcredit value adjustmentfinite-time ruin probabilityLaplace transform inversionruin theory

Mathematics Subject Classification ID

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

Recommendations

• Dangerous knowledge: credit value adjustment with credit triggers
• CVA under alternative settlement conventions and with systemic risk
• Credit derivative evaluation and CVA under the benchmark approach
• Credit default swaps with and without counterparty and collateral adjustments
• An evaluation model for downgrade protection

Cites work

• A jump-diffusion model for option pricing
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Approximations for the probability of ruin within finite time
• Arbitrage Theory in Continuous Time
• Credit risk: Modelling, valuation and hedging
• Dangerous knowledge: credit value adjustment with credit triggers
• Finite time ruin problems for the Erlang(2) risk model
• First passage times of a jump diffusion process
• scientific article; zbMATH DE number 3437808 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Numerical Inversion of Laplace Transforms of Probability Distributions
• On the expectation of total discounted operating costs up to default and its applications
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• On the Time Value of Ruin
• Option pricing when underlying stock returns are discontinuous
• Ruin probabilities
• The Density of the Time to Ruin in the Classical Poisson Risk Model

Cited in

(5)

• Decomposition of default probability under a structural credit risk model with jumps
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market
• Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
• An evaluation model for downgrade protection
• Valuing risky debt: a new model combining structural information with the reduced-form approach

This page was built for publication: Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445353)