The impact of different correlation approaches on valuing credit default swaps with counterparty risk

DOI10.1080/14697688.2012.750008zbMath1282.91343OpenAlexW2053240576MaRDI QIDQ5400659

Seth Rooder, Gunter Meissner, Kristofor Fan

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.750008

zbMATH Keywords

credit default swapscredit modelscorrelation modellingLIBOR market models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Uses Software

• Visual Basic

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• LIBOR and swap market models and measures
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Calibration of the SABR Model in Illiquid Markets
• The t Copula and Related Copulas
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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