CVA calculation for CDS under a contagion model with regime-switching intensities

DOI10.1360/012014-65zbMath1488.91150OpenAlexW2314689369MaRDI QIDQ5017996

Yinghui Dong

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012014-65

zbMATH Keywords

regime-switchingbilateral credit valuation adjustmentdefault intensities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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