THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL

DOI10.1142/S0217595911003144zbMath1211.91237OpenAlexW2095541777MaRDI QIDQ2998844

Gechun Liang, Sen Wu, Harry Zheng, Jianwei Lin

Publication date: 11 May 2011

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595911003144

zbMATH Keywords

contagioncounterparty riskdefault intensitybasket CDSprimary-subsidiary model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Pricing and risk management of interest rate swaps

Cites Work

• Basket CDS pricing with interacting intensities
• The multivariate hazard construction
• The t Copula and Related Copulas
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• A General Formula for Valuing Defaultable Securities

This page was built for publication: THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL