COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES

DOI10.1142/S0219024911006863zbMath1233.91290OpenAlexW1967993071MaRDI QIDQ3225032

Yuzhen Zhou, Dan Tang, Yong Jin Wang

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006863

zbMATH Keywords

credit default swapcounterparty riskMarkov modulated processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION ⋮ Credit derivative evaluation and CVA under the benchmark approach

Cites Work

• Modelling default contagion using multivariate phase-type distributions
• Option pricing for pure jump processes with Markov switching compensators
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Hazard rate for credit risk and hedging defaultable contingent claims
• Pricing and trading credit default swaps in a hazard process model
• Credit Risk Modeling
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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