Valuation of a credit swap of the basket type

DOI10.1023/A:1009628513231zbMath1274.91417OpenAlexW1497351691MaRDI QIDQ375320

Masaaki Kijima

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009628513231

zbMATH Keywords

conditional independencedefault intensity processextended Vasicek modeljoint survival probabilityrisk-neutral valuation

Mathematics Subject Classification ID

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

Related Items (8)

On the term structure of lending interest rates when a fraction of collateral is recovered upon default ⋮ On the simulation of portfolios of interest rate and credit risk sensitive securities ⋮ ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS ⋮ Valuation of portfolio credit derivatives with default intensities using the Vasicek model ⋮ An economic premium principle in a multiperiod economy. ⋮ Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models ⋮ Pricing the credit default swap rate for jump diffusion default intensity processes ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach

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