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

DOI10.1016/J.SPL.2013.11.001MaRDI QIDQ2446699zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Chong Feng 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

counterparty riskcredit default swapscredit valuation adjustmentinteracting intensitiesregime-switching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

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

Cited in

(9)

• 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
• Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
• A contagion model with Markov regime-switching intensities
• 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
• A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
• CVA calculation for CDS under a contagion model with regime-switching intensities
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model

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