Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344)
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scientific article; zbMATH DE number 6875693
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| English | Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks |
scientific article; zbMATH DE number 6875693 |
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Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (English)
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29 May 2018
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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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0.8102473616600037
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0.8080220818519592
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0.8066447973251343
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0.8064782619476318
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0.7977291345596313
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