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- W1976508770 abstract "Abstract In this paper we consider computational methods of finding exit probabilities for a class of multivariate diffusion processes. Although there is an abundance of results for one-dimensional diffusion processes, for multivariate processes one has to rely on approximations or simulation methods. We adopt a Large Deviations approach to approximate barrier crossing probabilities of a multivariate Brownian Bridge. We use this approach in conjunction with simulation methods to develop an efficient method of obtaining barrier crossing probabilities of a multivariate Brownian motion. Using numerical examples, we demonstrate that our method works better than other existing methods. We mainly focus on a three-dimensional process, but our framework can be extended to higher dimensions. We present two applications of the proposed method in credit risk modeling. First, we show that we can efficiently estimate the default probabilities of several correlated credit risky entities. Second, we use this method to efficiently price a credit default swap (CDS) with several correlated reference entities. In a conventional approach one normally adopts an arbitrary copula to capture dependency among counterparties. The method we propose allows us to incorporate the instantaneous variance-covariance structure of the underlying process into the CDS prices." @default.
- W1976508770 created "2016-06-24" @default.
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- W1976508770 date "2008-07-01" @default.
- W1976508770 modified "2023-09-26" @default.
- W1976508770 title "Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models" @default.
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- W1976508770 doi "https://doi.org/10.1080/10920277.2008.10597521" @default.
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