Valuation of credit contingent interest rate swap with credit rating migration

DOI10.1080/00207160.2020.1713315zbMath1483.91254OpenAlexW3000316499WikidataQ126384129 ScholiaQ126384129MaRDI QIDQ5031189

No author found.

Publication date: 18 February 2022

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

Full work available at URL: https://doi.org/10.1080/00207160.2020.1713315

zbMATH Keywords

counterparty default riskcredit rating migrationcredit contingent interest rates swapcredit risk measurederivative pricing model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate

Cites Work

• Unnamed Item
• Unnamed Item
• On Cox processes and credit risky securities
• A fully non-linear PDE problem from pricing CDS with counterparty risk
• A free boundary problem for corporate bond with credit rating migration
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
• Valuation of credit contingent interest rate swap
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS

This page was built for publication: Valuation of credit contingent interest rate swap with credit rating migration