Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model

DOI10.1007/S10690-012-9155-YMaRDI QIDQ1934584zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Xue Liang, Guojing Wang

Publication date 29 January 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-012-9155-y

zbMATH Keywords

regime switchingcounterparty riskcredit default swapscredit valuation adjustmentinteracting intensity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 4020275 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1396448 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Option pricing and Esscher transform under regime switching
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• The multivariate hazard construction

Cited in

(9)

• Credit-equity modeling under a latent Lévy firm process
• Bilateral counterparty risk valuation on a CDS with a common shock model
• CVA calculation for CDS under a contagion model with regime-switching intensities
• A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
• Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• Dangerous knowledge: credit value adjustment with credit triggers
• Multivariate conditional hazard rate functions -- an overview

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