Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model

DOI10.1080/03610926.2021.1955383OpenAlexW3183477030MaRDI QIDQ6106209

Ayu Xie, Kangquan Zhi, Xiao-Song Qian

Publication date: 27 June 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1955383

zbMATH Keywords

counterparty riskcredit valuation adjustment (CVA)\(k\)th-to-default CLN

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
• Basket CDS pricing with interacting intensities
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework

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