The intensity model for pricing credit securities with jump diffusion and counterparty risk (Q541467): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Import240304020342 (talk | contribs)
Set profile property.
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank

Revision as of 00:35, 5 March 2024

scientific article
Language Label Description Also known as
English
The intensity model for pricing credit securities with jump diffusion and counterparty risk
scientific article

    Statements

    The intensity model for pricing credit securities with jump diffusion and counterparty risk (English)
    0 references
    0 references
    0 references
    7 June 2011
    0 references
    Summary: We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques of \textit{H. S. Park} [The survival probability of mortality intensity with jump-diffusion, J. Korean Stat. Soc. 37, No. 4, 355--363 (2008; \url{doi:10.1016/j.jkss.2008.06.001})] to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are extensions of the models in Jarrow and Yu (2001).
    0 references

    Identifiers