Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
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Publication:1753344
DOI10.1007/S10255-018-0756-8zbMATH Open1390.91314OpenAlexW2800287180MaRDI QIDQ1753344FDOQ1753344
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
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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
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