The valuation of multi-counterparties CDS with credit rating migration

DOI10.1007/S11766-020-3503-4MaRDI QIDQ2033486zbMATH OpenOpenAlexFDO

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

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

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)

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Cites work

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

Cited in

(5)

• Counterparty risk valuation of k th-to-default credit-linked notes with contagion risk
• scientific article; zbMATH DE number 6532006 (Why is no real title available?)
• Linear fractional differential equations in bank resource allocation and financial risk management model
• Valuation of credit contingent interest rate swap with credit rating migration
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

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