Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities

DOI10.1080/00207160.2012.657184zbMath1255.91129OpenAlexW2019110616MaRDI QIDQ4903546

Tao Wang, Jin Liang

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.657184

zbMATH Keywords

credit derivativesreduced-form modelloan credit default swapCIR and inverse CIR processdefault and prepayment risk

Mathematics Subject Classification ID

Related Items (2)

Valuation of credit contingent interest rate swap with credit rating migration ⋮ The valuation of multi-counterparties CDS with credit rating migration

Cites Work

• Credit events and the valuation of credit derivatives of basket type
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• Affine processes and applications in finance
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Credit risk: Modelling, valuation and hedging

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