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

DOI10.1142/S0219024911006863zbMATH Open1233.91290OpenAlexW1967993071MaRDI QIDQ3225032FDOQ3225032

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

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zbMATH Keywords

credit default swapcounterparty riskMarkov modulated processes

Mathematics Subject Classification ID

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

Cites Work

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

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
• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
• Credit risk valuation with rating transitions and partial information
• The impact of different correlation approaches on valuing credit default swaps with counterparty risk
• The valuation of multi-counterparties CDS with credit rating migration
• 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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