Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model

DOI10.1007/s10690-012-9155-yzbMath1282.91358OpenAlexW1993414636MaRDI QIDQ1934584

Xue Liang, Yinghui Dong, Guo-jing Wang

Publication date: 29 January 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9155-y

zbMATH Keywords

regime switchingcounterparty riskcredit default swapscredit valuation adjustmentinteracting intensity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS

Cites Work

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• AMERICAN OPTIONS WITH REGIME SWITCHING
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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