Modelling bonds and credit default swaps using a structural model with contagion

DOI10.1080/14697680701834614zbMath1154.91504arXiv0710.0753OpenAlexW2147171383MaRDI QIDQ3605227

William T. Shaw, Helen Haworth, Christoph Reisinger

Publication date: 23 February 2009

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

Full work available at URL: https://arxiv.org/abs/0710.0753

zbMATH Keywords

credit derivativescredit default swapsquantitative financecredit modelsapplied mathematical finance

Mathematics Subject Classification ID

Related Items (3)

An entropy model of credit risk contagion in the CRT market ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary ⋮ Pricing credit default swaps with bilateral value adjustments

Cites Work

• Numerical integration using sparse grids
• Copulas: Tales and facts (with discussion)
• Double Lookbacks

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