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

DOI10.1016/S0196-3821(06)23007-7MaRDI QIDQ3434840zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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Cited in

(5)

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

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