Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
type: Item
instance of: scholarly article
title: Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
zbMATH Open document ID: 1187.91222
author: Kwai Sun Leung
author: Yue Kuen Kwok
published in: Asia-Pacific Financial Markets
publication date: 2009-09-09T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5602567
zbMATH Keywords: credit default swaps
zbMATH Keywords: counterparty risk
zbMATH Keywords: Markov chain model
zbMATH Keywords: default correlation
MaRDI profile type: Publication
full work available at URL: s10690-009-9091-7
OpenAlex ID: W3121578515
Wikidata QID: Q60148445
cites work: COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
cites work: PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
DOI: 10.1007/S10690-009-9091-7
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description: scientific article; zbMATH DE number 5602567