Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
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Publication:1690473
DOI10.1007/s11464-017-0656-xzbMath1416.91389OpenAlexW2753376036MaRDI QIDQ1690473
Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang
Publication date: 19 January 2018
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-017-0656-x
Markov chaincommon shockbilateral credit valuation adjustmentcredit default swap (CDS)regime-switching shot noise process
General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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