A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk
DOI10.1080/07362994.2014.917430zbMath1307.91186OpenAlexW2089038838MaRDI QIDQ2875524
Chongfeng Wu, Yinghui Dong, Kam-Chuen Yuen
Publication date: 8 August 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2014.917430
credit default swapcounterparty riskcommon shockmultivariate regime-switching shot noise processfirst-to-default basket swap
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)
Related Items (1)
Cites Work
- Correlated intensity, counter party risks, and dependent mortalities
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Default Times in a Continuous-Time Markovian Regime Switching Model
- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- The virtual waiting-time and related processes
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
- A Regime-Switching Model of Long-Term Stock Returns
This page was built for publication: A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk
