Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344)

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Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
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    title
    Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (English)
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    author
    Feng Lin
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    Si-yuan Xie
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    Jing-Ping Yang
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    publication date
    29 May 2018
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    zbMATH DE Number
    6875693
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    zbMATH Keywords
    bilateral counterparty risk
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    CDS
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    JCIR++
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    copula function
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    semi-analytical formula
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    OpenAlex ID
    W2800287180
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    cites work
    Q3008262
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    Probability
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    Q4226355
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