Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584)
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scientific article; zbMATH DE number 6132184
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| English | Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model |
scientific article; zbMATH DE number 6132184 |
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Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (English)
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29 January 2013
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credit default swaps
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counterparty risk
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credit valuation adjustment
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interacting intensity
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regime switching
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0.9447659850120544
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0.8984749913215637
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0.8725566267967224
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0.8571099042892456
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