An application of time reversal to credit risk management


This article develops a new risk management framework.  We use time reversal, last passage time, and the h-transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last... [ view full abstract ]


  1. Masahiko Egami (Kyoto University)
  2. Rusudan Kevkhishvili (Kyoto University)

Topic Areas

Credit Risk , Optimization , Risk Management


TH-P-B1 » Credit Risk 2 (14:30 - Thursday, 19th July, Beckett 1)

Presentation Files

The presenter has not uploaded any presentation files.