A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk

DOI10.1080/03610926.2012.665555OpenAlexW1992208125MaRDI QIDQ2815378

Yinghui Dong, Xue Liang

Publication date: 28 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.665555

zbMATH Keywords

Markov chainbilateral counterparty riskcredit default swapsMarkov copulae approachunilateral counterparty risk

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Conditional Markov chains: properties, construction and structured dependence

Cites Work

• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Study of Dependence for Some Stochastic Processes
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• Credit risk: Modelling, valuation and hedging

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