Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
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Publication:836966
DOI10.1007/S10690-009-9091-7zbMath1187.91222OpenAlexW3121578515WikidataQ60148445 ScholiaQ60148445MaRDI QIDQ836966
Publication date: 9 September 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9091-7
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)
Related Items (12)
A Markov copula model with regime switching and its application ⋮ A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ A higher-order interactive hidden Markov model and its applications ⋮ Pricing options with credit risk in Markovian regime-switching markets ⋮ Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model ⋮ Basket credit derivative pricing in a Markov chain model with interacting intensities ⋮ Pricing options with credit risk in a reduced form model ⋮ A new default probability calculation formula and its application under uncertain environments ⋮ Bilateral counterparty risk valuation on a CDS with a common shock model ⋮ The intensity model for pricing credit securities with jump diffusion and counterparty risk ⋮ A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk ⋮ A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk
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