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

DOI10.1007/s10255-018-0756-8zbMath1390.91314OpenAlexW2800287180MaRDI QIDQ1753344

Feng Lin, Si-yuan Xie, Jing-Ping 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

CDSbilateral counterparty riskcopula functionJCIR++semi-analytical formula

Mathematics Subject Classification ID

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

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