Pages that link to "Item:Q1690473"
From MaRDI portal
The following pages link to Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473):
Displaying 12 items.
- A Markov copula model with regime switching and its application (Q272813) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- The valuation of multi-counterparties CDS with credit rating migration (Q2033486) (← links)
- A Monte-Carlo based approach for pricing credit default swaps with regime switching (Q2293596) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- Mathematical analysis of a credit default swap with counterparty risks (Q5056722) (← links)
- Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model (Q5379186) (← links)
- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks (Q6489108) (← links)
