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

DOI10.1007/S10255-018-0756-8MaRDI QIDQ1753344zbMATH OpenOpenAlexFDO

Authors Feng Lin, Si-yuan Xie, Jingping Yang

Publication date 29 May 2018

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-018-0756-8

zbMATH Keywords

copula functionbilateral counterparty riskCDSJCIR++semi-analytical formula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Credit risk (91G40)

Recommendations

• Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
• Counterparty risk for credit default swap with states related default intensity processes

Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• A note on discounted compound renewal sums under dependency
• An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
• An introduction to copulas.
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• Composite Bernstein copulas
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Credit risk: Modelling, valuation and hedging
• Dependence modeling in non-life insurance using the Bernstein copula
• Large sample behavior of the Bernstein copula estimator
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• On the moments of aggregate discounted claims with dependence introduced by a FGM copula
• Online forecast combinations of distributions: worst case bounds
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
• Pricing the credit default swap rate for jump diffusion default intensity processes
• Probability. Theory and examples.
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• TVaR-based capital allocation with copulas
• Tolerance intervals for quantiles of bivariate risks and risk measurement
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(4)

• The model for CDS pricing based on the Gaussian copula method
• A multivariate jump diffusion process for counterparty risk in CDS rates
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
• Exploration of credit risk of P2P platform based on data mining technology

This page was built for publication: Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1753344)