{"id":"https://openalex.org/W1962503717","doi":"https://doi.org/10.1080/00207160.2015.1071360","title":"Efficient solution of structural default models with correlated jumps and mutual obligations","display_name":"Efficient solution of structural default models with correlated jumps and mutual obligations","publication_year":2015,"publication_date":"2015-07-16","ids":{"openalex":"https://openalex.org/W1962503717","doi":"https://doi.org/10.1080/00207160.2015.1071360","mag":"1962503717"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2015.1071360","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1071360","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5035270942","display_name":"Andrey Itkin","orcid":"https://orcid.org/0000-0002-0796-6946"},"institutions":[{"id":"https://openalex.org/I100621029","display_name":"Bank of America","ror":"https://ror.org/006tvg625","country_code":"US","type":"other","lineage":["https://openalex.org/I100621029"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Andrey Itkin","raw_affiliation_strings":["Bank of America, New York, 10036 NY, USA; School of Engineering, New York University, New York, NY, USA","School of Engineering, New York University, New York, NY, USA"],"affiliations":[{"raw_affiliation_string":"Bank of America, New York, 10036 NY, USA; School of Engineering, New York University, New York, NY, USA","institution_ids":["https://openalex.org/I100621029"]},{"raw_affiliation_string":"School of Engineering, New York University, New York, NY, USA","institution_ids":["https://openalex.org/I57206974"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5075376959","display_name":"Alexander Lipton","orcid":"https://orcid.org/0000-0003-4120-6884"},"institutions":[{"id":"https://openalex.org/I4210146410","display_name":"Science Oxford","ror":"https://ror.org/04j8yhy50","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210146410"]},{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Alexander Lipton","raw_affiliation_strings":["Bank of America, New York, 10036 NY, USA; Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK","Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK#TAB#"],"affiliations":[{"raw_affiliation_string":"Bank of America, New York, 10036 NY, USA; Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK","institution_ids":["https://openalex.org/I4210146410"]},{"raw_affiliation_string":"Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK#TAB#","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5035270942"],"corresponding_institution_ids":["https://openalex.org/I100621029","https://openalex.org/I57206974"],"apc_list":null,"apc_paid":null,"fwci":8.5679,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.9763282,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"92","issue":"12","first_page":"2380","last_page":"2405"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9882000088691711,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5970087051391602},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.5717357397079468},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.5675413012504578},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.5368006825447083},{"id":"https://openalex.org/keywords/dimension","display_name":"Dimension (graph theory)","score":0.5354751348495483},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5262200832366943},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.4548545181751251},{"id":"https://openalex.org/keywords/credit-default-swap","display_name":"Credit default swap","score":0.4397793114185333},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3542993366718292},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.18975752592086792},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.18655642867088318},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.17804479598999023}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5970087051391602},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.5717357397079468},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.5675413012504578},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.5368006825447083},{"id":"https://openalex.org/C33676613","wikidata":"https://www.wikidata.org/wiki/Q13415176","display_name":"Dimension (graph theory)","level":2,"score":0.5354751348495483},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5262200832366943},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4548545181751251},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.4397793114185333},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3542993366718292},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18975752592086792},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.18655642867088318},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.17804479598999023},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2015.1071360","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1071360","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W150817069","https://openalex.org/W264173489","https://openalex.org/W1507758537","https://openalex.org/W1576630976","https://openalex.org/W1860269913","https://openalex.org/W1976557814","https://openalex.org/W1994858552","https://openalex.org/W2006804758","https://openalex.org/W2008233769","https://openalex.org/W2028789893","https://openalex.org/W2049161806","https://openalex.org/W2060374481","https://openalex.org/W2061225585","https://openalex.org/W2072430699","https://openalex.org/W2076959590","https://openalex.org/W2088248745","https://openalex.org/W2092200574","https://openalex.org/W2097998671","https://openalex.org/W2105973145","https://openalex.org/W2124689651","https://openalex.org/W2138333121","https://openalex.org/W2153455032","https://openalex.org/W2153999818","https://openalex.org/W2158159144","https://openalex.org/W2161628554","https://openalex.org/W2162337502","https://openalex.org/W2165677335","https://openalex.org/W2169260708","https://openalex.org/W2169797654","https://openalex.org/W2338972898","https://openalex.org/W2428616327","https://openalex.org/W2479942139","https://openalex.org/W2549597634","https://openalex.org/W2681103144","https://openalex.org/W2786676876","https://openalex.org/W2964080327","https://openalex.org/W3122656840","https://openalex.org/W3123070298","https://openalex.org/W3123258340","https://openalex.org/W3123752806","https://openalex.org/W3124397939","https://openalex.org/W3125137765","https://openalex.org/W3125744792","https://openalex.org/W3152114621","https://openalex.org/W4233006701","https://openalex.org/W4233476184","https://openalex.org/W4235708440"],"related_works":["https://openalex.org/W1864548409","https://openalex.org/W2283837480","https://openalex.org/W4361198436","https://openalex.org/W2781419001","https://openalex.org/W3122656840","https://openalex.org/W3122321985","https://openalex.org/W2618665466","https://openalex.org/W4316095752","https://openalex.org/W83360246","https://openalex.org/W70462951"],"abstract_inverted_index":{"The":[0,51,143],"structural":[1,17],"default":[2,13,18],"model":[3],"of":[4,32,71,75,104,108,145],"Lipton":[5],"and":[6,48,81,95,103,112,129,135,150],"Sepp":[7],"[Credit":[8],"value":[9],"adjustment":[10],"for":[11,29,116,133],"credit":[12],"swaps":[14],"via":[15,57],"the":[16,64,93,105],"model,":[19],"J.":[20,84],"Credit":[21],"Risk":[22],"5(2)":[23],"(2009),":[24],"pp.":[25],"123\u2013146]":[26],"is":[27,54,100],"generalized":[28],"a":[30,58],"set":[31],"banks":[33,137],"with":[34,46,79,138],"mutual":[35,139,146],"interbank":[36],"liabilities":[37,140,147],"whose":[38],"assets":[39],"are":[40,141,148,153],"driven":[41],"by":[42],"correlated":[43],"L\u00e9vy":[44,119],"processes":[45],"idiosyncratic":[47],"common":[49],"components.":[50],"multi-dimensional":[52],"problem":[53],"made":[55],"tractable":[56],"novel":[59],"computational":[60],"method,":[61],"which":[62],"generalizes":[63],"one-dimensional":[65],"fractional":[66],"partial":[67],"differential":[68],"equation":[69],"method":[70,99],"Itkin":[72],"[Efficient":[73],"solution":[74],"backward":[76],"jump-diffusion":[77],"PIDEs":[78],"splitting":[80],"matrix":[82],"exponentials,":[83],"Comput.":[85],"Financ.":[86],"(2014),":[87],"forthcoming.":[88],"Available":[89],"at":[90],"http://arxiv.org/abs/1304.3159]":[91],"to":[92,155],"two-":[94],"three-dimensional":[96],"cases.":[97],"This":[98],"unconditionally":[101],"stable":[102],"second":[106],"order":[107],"approximation":[109],"in":[110,114,125],"space":[111],"time;":[113],"addition,":[115],"many":[117],"popular":[118],"models":[120],"it":[121],"has":[122],"linear":[123],"complexity":[124],"each":[126],"dimension.":[127],"Marginal":[128],"joint":[130],"survival":[131],"probabilities":[132],"two":[134],"three":[136],"computed.":[142],"effects":[144],"discussed,":[149],"numerical":[151],"examples":[152],"given":[154],"illustrate":[156],"these":[157],"effects.":[158]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":4}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
