Valuation of credit default swaps with contagious default correlation

zbMATH Open1240.91163MaRDI QIDQ3016965FDOQ3016965

Authors: Shujin Li, Shenghong Li 

Publication date: 19 July 2011

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zbMATH Keywords

credit default swapsreturn ratereference entitysettlement period

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (11)

• Title not available (Why is that?)
• Contagion effects and collateralized credit value adjustments for credit default swaps
• A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
• System credit events and the valuation of credit default swaps
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
• Title not available (Why is that?)
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
• Credit risky securities valuation under a contagion model with interacting intensities
• Modelling bonds and credit default swaps using a structural model with contagion
• A Copula Approach to Default Correlation and the Pricing of Basket Default Swap
• Valuation of credit contingent interest rate swap

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