Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

DOI10.1007/s11464-017-0656-xzbMath1416.91389OpenAlexW2753376036MaRDI QIDQ1690473

Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 19 January 2018

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-017-0656-x

zbMATH Keywords

Markov chaincommon shockbilateral credit valuation adjustmentcredit default swap (CDS)regime-switching shot noise process

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Unnamed Item
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Affine processes and applications in finance
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• The virtual waiting-time and related processes
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Information and option pricings
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL