Pricing credit derivatives under a correlated regime-switching hazard processes model
DOI10.3934/JIMO.2016079zbMATH Open1361.91060OpenAlexW2531613812MaRDI QIDQ2397578FDOQ2397578
Authors: Yinghui Dong, Kam Chuen Yuen, Guojing Wang 
Publication date: 22 May 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016079
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Markov chainhazard process\(k\)th-to-default basket swapmultivariate regime-switching shot noise process
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
- Affine processes and applications in finance
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- AMERICAN OPTIONS WITH REGIME SWITCHING
- Valuation and hedging of CDS counterparty exposure in a Markov copula model
- Time-changed birth processes and multiname credit derivatives
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Default Times in a Continuous-Time Markovian Regime Switching Model
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
Cited In (21)
- Basket credit derivative pricing in a Markov chain model with interacting intensities
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Pricing and hedging contingent claims with regime switching risk
- Pricing and trading credit default swaps in a hazard process model
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- Valuation of basket credit default swaps under stochastic default intensity models
- Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model
- A Monte-Carlo based approach for pricing credit default swaps with regime switching
- Basket CDS pricing with default intensities using a regime-switching shot-noise model
- A reflection principle for correlated defaults
- Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
- A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
- Price discovery in the markets for credit risk: a Markov switching approach
- Pricing basket default swaps in a tractable shot noise model
- Valuation of a credit swap of the basket type
- 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
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