The valuation of multi-counterparties CDS with credit rating migration

DOI10.1007/S11766-020-3503-4zbMATH Open1474.91232OpenAlexW3117483935MaRDI QIDQ2033486FDOQ2033486

Jin Liang, Anis Ben Brahim, Wenyi Li, Huaying Guo

Publication date: 17 June 2021

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-020-3503-4

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zbMATH Keywords

CDSreduced formcredit rating migration riskmulti-counterpartiesstructure style

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Nonlinear parabolic equations (35K55)

Cites Work

• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• A free boundary problem for corporate bond with credit rating migration
• Asymptotic traveling wave solution for a credit rating migration problem
• Pricing the risks of default
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Credit Risk Modeling
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
• A fully non-linear PDE problem from pricing CDS with counterparty risk
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Counterparty risk pricing under correlation between default and interest rates
• A counterparty valuation adjustment calculation model of multi-counterparties credit default swap

Cited In (3)

• Title not available (Why is that?)
• Linear fractional differential equations in bank resource allocation and financial risk management model
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

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