Unilateral counterparty risk valuation of CDS using a regime-switching intensity model

DOI10.1016/j.spl.2013.11.001zbMath1287.91138MaRDI QIDQ2446699

Yinghui Dong, Chongfeng Wu, Kam-Chuen Yuen

Publication date: 17 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.11.001

zbMATH Keywords

regime-switching; counterparty risk; credit default swaps; credit valuation adjustment; interacting intensities

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Related Items

Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities, A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes, Pricing credit derivatives under a correlated regime-switching hazard processes model, A regime-switching model with jumps and its application to bond pricing and insurance

Cites Work

• A Markov regime-switching marked point process for short-rate analysis with credit risk
• Robust optimal portfolio choice under Markovian regime-switching model
• The multivariate hazard construction
• AMERICAN OPTIONS WITH REGIME SWITCHING
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• A General Formula for Valuing Defaultable Securities