Credit risky securities valuation under a contagion model with interacting intensities
type: Item
instance of: scholarly article
title: Credit risky securities valuation under a contagion model with interacting intensities
zbMATH Open document ID: 1223.91039
DOI: 10.1155/2011/158020
author: Anjiao Wang
author: Zhongxing Ye
published in: Journal of Applied Mathematics
publication date: 2011-10-27T00:00:00Z
review text: Summary: We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the ``total hazard'' approach, default times can be generated and the joint density function is obtained. We represent the pricing method of defaultable bonds and obtain the closed-form pricing formulas. By the approach of ``change of measure,'' analytical solutions of CDS swap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 5964431
Wikidata QID: Q58690267
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2011/158020
OpenAlex ID: W2139873663
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DBLP publication ID: journals/jam/WangY11
description: scientific article; zbMATH DE number 5964431