Pricing credit derivatives under a correlated regime-switching hazard processes model

DOI10.3934/JIMO.2016079MaRDI QIDQ2397578zbMATHOpenAlexFDO

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

zbMATH Keywords

Markov chainhazard process\(k\)th-to-default basket swapmultivariate regime-switching shot noise process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Affine processes and applications in finance
• Default Times in a Continuous-Time Markovian Regime Switching Model
• Longevity bond pricing under stochastic interest rate and mortality with regime-switching
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Time-changed birth processes and multiname credit derivatives
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• Valuation and hedging of CDS counterparty exposure in a Markov copula model

Cited in

(21)

• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
• A Monte-Carlo based approach for pricing credit default swaps with regime switching
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• Basket CDS pricing with default intensities using a regime-switching shot-noise model
• Basket credit derivative pricing in a Markov chain model with interacting intensities
• Pricing basket default swaps in a tractable shot noise model
• Pricing and hedging contingent claims with regime switching risk
• Valuation of basket credit default swaps under stochastic default intensity models
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• A reflection principle for correlated defaults
• Valuation of a credit swap of the basket type
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• Pricing credit derivatives in a Markov-modulated reduced-form model
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
• Pricing and trading credit default swaps in a hazard process 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 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

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