Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473)
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scientific article; zbMATH DE number 6827756
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities |
scientific article; zbMATH DE number 6827756 |
Statements
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (English)
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19 January 2018
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credit default swap (CDS)
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bilateral credit valuation adjustment
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Markov chain
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common shock
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regime-switching shot noise process
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