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

DOI10.1007/s10690-012-9155-yzbMath1282.91358MaRDI QIDQ1934584

Xue Liang, Yinghui Dong, Guo-jing 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 switching; counterparty risk; credit default swaps; credit valuation adjustment; interacting intensity

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Related Items

CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS

Cites Work

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