Valuation of credit contingent interest rate swap

DOI10.3233/RDA-2012-0072zbMath1263.91050OpenAlexW1958063517MaRDI QIDQ4921215

Yin Xu, Jin Liang

Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0072

zbMATH Keywords

counterparty riskcredit value adjustmentaffine jump diffusion processintensity-based approach

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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Valuation of credit contingent interest rate swap with credit rating migration

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