Cover Image

Loss-Given-Default Modeling by Post-Last Passage Time Process

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Egami, Masahiko, Kevkhishvili, Rusudan
Format:	Preprint
Published:	2020
Subjects:	Risk Management 60J60, 60J70
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On Decomposition of the Last Passage Time of Diffusions
by: Egami, Masahiko, et al.
Published: (2022)

On the First Passage Times of Branching Random Walks in $\mathbb R^d$
by: Blanchet, Jose, et al.
Published: (2024)

Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness
by: Alecio, Alexander
Published: (2025)

A Markov approach to credit rating migration conditional on economic states
by: Kalkbrener, Michael, et al.
Published: (2024)

$Λ$-Seed-Bank-Wright-Fisher process conditioned on fixation
by: Fittipaldi, María Clara, et al.
Published: (2025)

Excursion theory for the Wright-Fisher diffusion
by: Jenkins, Paul A., et al.
Published: (2023)

Diffusion limits in the quarter plane and non-semimartingale reflected Brownian motion
by: Atar, Rami, et al.
Published: (2024)

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

Controlled Interacting Branching Diffusion Processes: Relaxed Formulation in the Mean-Field Regime
by: Ocello, Antonio
Published: (2023)

Stochastic neutral fractions and the effective population size
by: Forien, Raphaël, et al.
Published: (2025)

A Note on Estimation of Multi-Sigmoidal Gompertz Functions with Random Noise
by: Román-Román, Patricia, et al.
Published: (2024)

Multi-type logistic branching processes with selection: frequency process and genealogy for large carrying capacities
by: Pra, Marta Dai, et al.
Published: (2025)

Cover times with stochastic resetting
by: Linn, Samantha, et al.
Published: (2024)

Passage times of fast inhomogeneous immigration processes
by: Tung, Hwai-Ray, et al.
Published: (2025)

Local explosions and extinction in continuous-state branching processes with logistic competition
by: Foucart, Clément
Published: (2021)

Earthquake modelling via Brownian motions on networks
by: Colantoni, Fausto, et al.
Published: (2025)

The shape of the front of multidimensional branching Brownian motion
by: Kim, Yujin H., et al.
Published: (2024)

Controlled Interacting Branching Diffusion Processes: A Viscosity Approach
by: Ocello, Antonio
Published: (2026)

Extremal Process of Last Progeny Modified Branching Random Walks
by: Ghosh, Partha Pratim, et al.
Published: (2024)

Small-time approximation of the transition density for diffusions with singularities. Application to the Wright-Fisher model
by: Roa, Tania, et al.
Published: (2022)

A Probabilistic Proof for Stable Fluctuations in the Extremal Process of Branching Brownian Motion
by: Hartung, Lisa, et al.
Published: (2025)

The Hubbert diffusion process: Estimation via simulated annealing and variable neighborhood search procedures. Application to forecasting peak oil production
by: Sant'Ana, Istoni da Luz, et al.
Published: (2024)

The Boundary Principle of a Single Big Jump: Refined Asymptotics for Branching Processes with Immigration
by: Zhao, Yunfan
Published: (2025)

Diffusion approximation of the stationary distribution of a two-level single server queue
by: Miyazawa, Masakiyo
Published: (2023)

Multi-type $Ξ$-coalescents from structured population models with bottlenecks
by: Pra, Marta Dai, et al.
Published: (2025)

Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
by: Guérin, Hélène, et al.
Published: (2024)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
by: Azze, Abel, et al.
Published: (2025)

Skew-Normal Diffusions
by: Hongler, Max-Olivier, et al.
Published: (2023)

Distance to stationarity and open set recurrence for ergodic processes on the unit interval with a Bernstein or a Siegmund dual
by: Cordero, Fernando, et al.
Published: (2025)

Genealogical structures under interactive neutral reproduction: factorial moment duality via a Frankenstein process
by: Baake, Ellen, et al.
Published: (2026)

A dual process for the coupled Wright-Fisher diffusion
by: Favero, Martina, et al.
Published: (2019)

Branching random walk in the presence of a hard wall
by: Roy, Rishideep
Published: (2018)

On the Growth of the Extremal and Cluster Level Sets in Branching Brownian Motion
by: Hartung, Lisa, et al.
Published: (2024)

First passage times with fast immigration
by: Tung, Hwai-Ray, et al.
Published: (2025)

Stopping problems with an unknown state
by: Ekström, Erik, et al.
Published: (2022)

The extremal process of two-speed branching random walk
by: Luo, Lianghui
Published: (2025)

Extremal properties of the random walk local time
by: Biskup, Marek
Published: (2025)

Evolution of a trait distributed over a large fragmented population: Propagation of chaos meets adaptive dynamics
by: Lambert, Amaury, et al.
Published: (2025)

Diffusion Processes on $p$-Wasserstein Space over Banach Space
by: Ren, Panpan, et al.
Published: (2024)