| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076927 | Insurance: Mathematics and Economics | 2012 | 13 Pages |
Abstract
⺠A commonly used measure of counterparty risk is the credit value adjustment (CVA). ⺠The paper addresses the modeling of CVA with downgrade-triggered termination clause. ⺠We provide solutions to various probabilities of default in a jump-diffusion model. ⺠Our algorithm for computing CVA with downgrade trigger proves to be very efficient. ⺠The paper presents a novel application of ruin techniques for credit risk management.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Runhuan Feng, Hans W. Volkmer,