A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES

DOI10.12941/jksiam.2015.19.023zbMath1322.91059MaRDI QIDQ3192914

Siti Norafidah Mohd Ramli, Ji-Wook Jang

Publication date: 14 October 2015

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12941/jksiam.2015.19.023

zbMATH Keywords

copulas; counterparty risk; CDS rate; joint survival/default probability; multivariate Cox process; multivariate jump diffusion process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60G10: Stationary stochastic processes

60G44: Martingales with continuous parameter

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

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G40: Credit risk

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Uses Software

• QRM