Valuation of portfolio credit derivatives with default intensities using the Vasicek model

DOI10.1007/s10690-010-9119-zzbMath1208.91147OpenAlexW2024785579MaRDI QIDQ633823

Jin Liang, Qin Ji, Jun Mei Ma, Tao Wang

Publication date: 30 March 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9119-z

zbMATH Keywords

Vasicek modelcredit default swapscollateralized debt obligationdefault intensity correlationportfolio credit derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (7)

Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities ⋮ Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models

Cites Work

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• Credit events and the valuation of credit derivatives of basket type
• Valuation of a credit swap of the basket type
• On Cox processes and credit risky securities
• Basket CDS pricing with interacting intensities
• A Theory of the Term Structure of Interest Rates
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• An equilibrium characterization of the term structure
• PDE approach to valuation and hedging of credit derivatives
• Credit risk: Modelling, valuation and hedging

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