{"entities":{"Q1776007":{"pageid":1786749,"ns":120,"title":"Item:Q1776007","lastrevid":48487114,"modified":"2026-01-04T23:39:49Z","type":"item","id":"Q1776007","labels":{"en":{"language":"en","value":"Valuation of credit default swaps and swaptions"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2169539"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776007$6F7A8592-051E-4822-A142-02ADE873CAC1","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"83a84ddc56d0bd50407bdf9b1598b1f3482e4087","datavalue":{"value":{"text":"Valuation of credit default swaps and swaptions","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1776007$E87DB719-D475-4D51-B16A-A3A326A9D765","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"5cceee25f53e94b46eb906d14d62948d1304e36e","datavalue":{"value":"1063.91034","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$B0D56BD9-6A32-4179-8C6B-79E190D7A4A7","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"c634dc9ed5f740d6ab92b7af39dce926b4f9f7a5","datavalue":{"value":{"entity-type":"item","numeric-id":1367944,"id":"Q1367944"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776007$E68D458A-A330-40CC-BBC5-79EB469BA4D0","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776007$06EA111C-281C-4903-87DA-B16EB0173756","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"df3b590d9edae7ef06862f3d803ab57ea4760b6f","datavalue":{"value":{"time":"+2005-05-20T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1776007$F67F0270-BC57-4F60-B054-E8418F867AB1","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"3a26a710c1b268bb4a75b91e0c14527870708db7","datavalue":{"value":"This paper aims to develop a valuation framework for single-name credit derivatives that combine an arbitrary numeraire with a general conditional probability of survival arising from a subfiltration. The author starts from first financial principles and proceeds in a self-contained manner within a general probabilistic framework. New concepts and terminology are introduced to facilitate the discussion and to especially highlight the views on cash flow modelling and change of numeraire in presence of default. New concepts and results are presented for the evaluation of credit swaptions. A new formula on fractional recovery of a pre-default value is derived. The Black-Scholes formula for credit default swaptions is shown to serve as a least-squares approximation to the general case.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$5CBA732E-EF9B-4ECE-AC42-8801E15A6662","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776007$C68A04E1-9734-434A-B274-176D3205CB6F","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"23a0300312e4895eb419bd6ce7bc42505dc963fd","datavalue":{"value":"91G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$04869713-2906-44FD-9734-9F3ACF832B82","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$EF4996A3-5C5D-4899-B642-A47DC6CFFB51","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"54006f64703308f565a048b96b7c6d14d8f5c177","datavalue":{"value":"60G44","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$E87779A6-AABE-4F17-9C8A-17BCCB7DCD51","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"96985b9b4d60c0f935f371b2243a7deeef976496","datavalue":{"value":"60G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$30FCA8EF-867A-4B9E-BE95-D3C5FB9B2237","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"4c7a2abf9609a9500d370942b740d95167edbe1a","datavalue":{"value":"2169539","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$BC17326D-9E32-47FA-8539-E3B11FD0568C","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b9ba6b40c61a960fad75467177a1cc44ae873634","datavalue":{"value":"subfiltration","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$83B95575-146C-486F-A487-EF9BF6F699E3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"28e72317a2cd7e430d01110660c01a0778fd16e0","datavalue":{"value":"conditional survival probability","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$03D30B58-9929-42FE-ABF2-F99BF0F0F1DB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"111cc8dab2ad523f6bd4d2051872d54f1327417b","datavalue":{"value":"preprice","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$E11E9818-BE48-4BE6-BEC2-3EB963D023EA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ce3b6658daa037a8d7573adc32fe118e5510efd1","datavalue":{"value":"prenumeraire","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$047EB4CE-5D20-457F-86D2-C922AF9E8D11","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9e6596d58d1b2368a8dc514510fc83890b54d82c","datavalue":{"value":"recovery","type":"string"},"datatype":"string"},"type":"statement","id":"Q1776007$604BEF81-6729-49B2-951C-8DC1228C709F","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1776007$303D8E26-D46C-4527-8A8C-2D3758C5C304","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"6badb73ea389900e48ced1ff1b352a83a26abc67","datavalue":{"value":"https://doi.org/10.1007/s00780-004-0122-y","type":"string"},"datatype":"url"},"type":"statement","id":"Q1776007$FB3D7476-BCEC-47C2-914A-D90EE16B5A13","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"af231b163b19eeb0fbdfde9c3eba1055456f72c1","datavalue":{"value":"W1995684172","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$085EBA9B-1414-4212-8BDA-6F85260C2C11","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"ecdd9c2e8a52c66de671b7af13403cc90b8ea25e","datavalue":{"value":"10.1007/S00780-004-0122-Y","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1776007$CD46638E-0CDA-44F4-B996-3F9E3A8318A4","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9ad2614e212c4f4f226f4d4a68f64cfd7da3dd10","datavalue":{"value":{"entity-type":"item","numeric-id":3655556,"id":"Q3655556"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4012bc74102d00f51c5a42aa0b84927d6d3a603e","datavalue":{"value":{"amount":"+0.8641431927680969","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776007$0583BD86-6AB8-46F2-B5DF-F61458B10096","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6bc5e81142474020d335e09b507dbbabb170677f","datavalue":{"value":{"entity-type":"item","numeric-id":5456090,"id":"Q5456090"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"706ce4cb3640375d588114c5a1a7355cca06c53d","datavalue":{"value":{"amount":"+0.8384358882904053","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776007$245DCF4A-7257-4AFA-A81F-850980E38FFE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"37a82448885fb50b84826b2199a1e40ecfb7f0df","datavalue":{"value":{"entity-type":"item","numeric-id":1025620,"id":"Q1025620"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"856b569f1a7bef7cecba198275b792a65499c185","datavalue":{"value":{"amount":"+0.7934775948524475","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776007$73E7D228-492F-4562-AE17-AEF7C8298CB9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7914bf205002bff5957a6471b58f23bfe9bde8fc","datavalue":{"value":{"entity-type":"item","numeric-id":375320,"id":"Q375320"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"cc8e4b3db93dfb2b4191770b93929ba95c671357","datavalue":{"value":{"amount":"+0.7814532518386841","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776007$86DF9195-4C4F-4A57-8371-D4CAA7C1C57F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5c2f54cba6dab281a804011e8a5981710a9b229e","datavalue":{"value":{"entity-type":"item","numeric-id":2842532,"id":"Q2842532"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"270aa8bf509dcac257c84ed671b9c74e38030476","datavalue":{"value":{"amount":"+0.779151976108551","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1776007$5D20AF73-D0A7-4DA6-8284-B20EFF09223D","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1776007","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1776007"}}}}}