The valuation of multi-counterparties CDS with credit rating migration

DOI10.1007/s11766-020-3503-4zbMath1474.91232OpenAlexW3117483935MaRDI QIDQ2033486

Jin Liang, Anis Ben Brahim, Wenyi Li, Hua-ying Guo

Publication date: 17 June 2021

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-020-3503-4

zbMATH Keywords

CDSreduced formcredit rating migration riskmulti-counterpartiesstructure style

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Linear fractional differential equations in bank resource allocation and financial risk management model

Cites Work

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• Pricing the risks of default
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• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• A free boundary problem for corporate bond with credit rating migration
• Credit Risk Modeling
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

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