Market Models of Forward CDS Spreads

DOI10.1007/978-3-0348-0097-6_21MaRDI QIDQ2909992zbMATH OpenOpenAlexFDO

Authors Marek Rutkowski, Libo Li

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_21

zbMATH Keywords

credit default swapmarket modelLIBOR

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cited in

(6)

• The dynamic spread of the forward CDS with general random loss
• CDS trading and bond interest rates
• The determinants of CDS spreads: evidence from the model space
• Modeling the forward CDS spreads with jumps
• A spread-return mean-reverting model for credit spread dynamics
• Non-linear Gaussian sovereign CDS pricing models

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