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

DOI10.1007/S10690-012-9155-YzbMATH Open1282.91358OpenAlexW1993414636MaRDI QIDQ1934584FDOQ1934584

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

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zbMATH Keywords

regime switchingcounterparty riskcredit default swapscredit valuation adjustmentinteracting intensity

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Option pricing and Esscher transform under regime switching
• 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
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Title not available (Why is that?)
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• The multivariate hazard construction
• Title not available (Why is that?)

Cited In (9)

• Credit-equity modeling under a latent Lévy firm process
• CVA calculation for CDS under a contagion model with regime-switching intensities
• Bilateral counterparty risk valuation on a CDS with a common shock model
• 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
• Multivariate conditional hazard rate functions -- an overview
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• Dangerous knowledge: credit value adjustment with credit triggers

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