Research on CDS pricing model with endogenous recovery rate

DOI10.1016/J.CNSNS.2018.02.004zbMath1470.91281OpenAlexW2792407777MaRDI QIDQ2207878

Xiaojing Lin, Jing Zhang, Ya-Ming Zhuang

Publication date: 23 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2018.02.004

zbMATH Keywords

Laplace transformintensity-based modelendogenous recovery rateLévy subordinator processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Beta kernel estimators for density functions
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
• Mortality modelling with Lévy processes
• Constructing hierarchical archimedean copulas with Lévy subordinators
• Implied recovery
• Pricing CDOs with state-dependent stochastic recovery rates
• Pricing credit derivatives under stochastic recovery in a hybrid model
• Lévy Processes and Stochastic Calculus
• Financial Modelling with Jump Processes

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