The dynamic spread of the forward CDS with general random loss
type: Item
instance of: scholarly article
title: The dynamic spread of the forward CDS with general random loss
zbMATH Open document ID: 1406.91453
DOI: 10.1155/2014/580713
author: Kun Tian
author: Dewen Xiong
author: Zhongxing Ye
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: We assume that the filtration \(\mathbb{F}\) is generated by a \(d\)-dimensional Brownian motion \(W = (W_1, \ldots, W_d)'\) as well as an integer-valued random measure \(\mu(d u, d y)\). The random variable \(\widetilde{\tau}\) is the default time and \(L\) is the default loss. Let \(\mathbb{G} = \{\mathcal{G}_t; t \geq 0 \}\) be the progressive enlargement of \(\mathbb{F}\) by \((\widetilde{\tau}, L)\); that is, \(\mathbb{G}\) is the smallest filtration including \(\mathbb{F}\) such that \(\widetilde{\tau}\) is a \(\mathbb{G}\)-stopping time and \(L\) is \(\mathcal{G}_{\widetilde{\tau}}\)-measurable. We mainly consider the forward CDS with loss in the framework of stochastic interest rates whose term structures are modeled by the Heath-Jarrow-Morton approach with jumps under the general conditional density hypothesis. We describe the dynamics of the defaultable bond in \(\mathbb{G}\) and the forward CDS with random loss explicitly by the BSDEs method.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7022650
zbMATH Keywords: forward credit default swap
zbMATH Keywords: dynamic spread
zbMATH Keywords: stochastic interest rates
Wikidata QID: Q59039620
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/580713
OpenAlex ID: W2064004084
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description: scientific article; zbMATH DE number 7022650