ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS

DOI10.1142/S0219024914500551zbMath1304.91230MaRDI QIDQ2939927

Agnès Tourin, Fabian Astic

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500551

zbMATH Keywords

finite difference method; stochastic control; viscosity solutions; secured loans

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

93E20: Optimal stochastic control

91G40: Credit risk

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Mathematical methods for financial markets.
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
• The optimal capital structure of the firm with stable Lévy assets returns
• Optimal securitization of credit portfolios via impulse control
• Weak Dynamic Programming Principle for Viscosity Solutions
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• A Structural Model with Unobserved Default Boundary
• Optimal Control with State-Space Constraint I
• Optimal Control with State-Space Constraint. II
• User’s guide to viscosity solutions of second order partial differential equations
• A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
• The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
• Financial Modelling with Jump Processes
• Weak Dynamic Programming for Generalized State Constraints