MULTI-CURRENCY CREDIT DEFAULT SWAPS

DOI10.1142/S0219024919500183zbMath1411.91546OpenAlexW2936377275WikidataQ128013707 ScholiaQ128013707MaRDI QIDQ5384682

Andrea Petrelli, Nicola Pede, Damiano Brigo

Publication date: 24 June 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500183

zbMATH Keywords

intensity modelscredit default swapscredit crisisreduced form modelsliquidity crisisquanto CDSdevaluation jumpFX devaluationmulti currency CDSquanto credit effects

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ Estimating redenomination risk under Gumbel-Hougaard survival copulas

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