Sample-path large deviations in credit risk

DOI10.1155/2011/354171zbMath1235.91169arXiv0909.5610OpenAlexW3106168813WikidataQ58690326 ScholiaQ58690326MaRDI QIDQ410789

P. J. C. Spreij, V. J. G. Leijdekker, M. R. H. Mandjes

Publication date: 4 April 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.5610

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

Uses Software

• QRM

Cites Work

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• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

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