Counterparty risk for credit default swap with states related default intensity processes

DOI10.1142/S0219024911006863MaRDI QIDQ3225032zbMATH OpenOpenAlexFDO

Authors Dan Tang, Yuzhen Zhou, Yongjin Wang

Publication date 13 March 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024911006863

zbMATH Keywords

credit default swapcounterparty riskMarkov modulated processes

Mathematics Subject Classification ID

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

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Cites work

• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit Risk Modeling
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Hazard rate for credit risk and hedging defaultable contingent claims
• Modelling default contagion using multivariate phase-type distributions
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Option pricing for pure jump processes with Markov switching compensators
• Pricing and trading credit default swaps in a hazard process model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(13)

• The intensity model for pricing credit securities with jump diffusion and counterparty risk
• Bivariate semi-Markov process for counterparty credit risk
• Credit derivative evaluation and CVA under the benchmark approach
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
• Credit risk valuation with rating transitions and partial information
• The valuation of multi-counterparties CDS with credit rating migration
• The impact of different correlation approaches on valuing credit default swaps with counterparty risk
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Mathematical analysis of a credit default swap with counterparty risks
• Counterparty risk pricing under correlation between default and interest rates

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