A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks

DOI10.1016/S0196-3821(06)23007-7zbMATH Open1173.91403OpenAlexW2502413301MaRDI QIDQ3434840FDOQ3434840

Authors: Chuang-Chang Chang, Jih-Chieh Yu 

Publication date: 3 May 2007

Published in: Research in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0196-3821(06)23007-7

Recommendations

• The impact of different correlation approaches on valuing credit default swaps with counterparty risk
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit derivatives in an affine framework
• Credit risk valuation. Methods, models, and applications.
• Credit spreads in a reduced-form approach with jump risks

Mathematics Subject Classification ID

Cited In (5)

• Credit derivatives in an affine framework
• Utility valuation of credit derivatives: single and two-name cases
• The impact of different correlation approaches on valuing credit default swaps with counterparty risk
• EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES
• Modelling credit default swap spreads by means of normal mixtures and copulas

This page was built for publication: A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3434840)