Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699)
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scientific article; zbMATH DE number 6286773
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| default for all languages | No label defined |
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| English | Unilateral counterparty risk valuation of CDS using a regime-switching intensity model |
scientific article; zbMATH DE number 6286773 |
Statements
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (English)
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17 April 2014
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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 intensities
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regime-switching
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0.9888277
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0.9129356
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0.8956527
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0.88283235
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0.88220453
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0.8811119
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0.8744292
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0.86446416
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0.86012876
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