Pricing the risks of default

DOI10.1007/BF01531333zbMATH Open1274.91426OpenAlexW3124615701MaRDI QIDQ375364FDOQ375364

Dilip B. Madan, Haluk Unal

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531333

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• scientific article; zbMATH DE number 7088119

zbMATH Keywords

hazard ratedefault timingrecovery risk

Mathematics Subject Classification ID

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

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Pricing the risks of default
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty

Cited In (75)

• COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events
• Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• The dependence of assets and default threshold with thinning-dependence structure
• FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models
• The European vulnerable option pricing with jumps based on a mixed model
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
• A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS
• Pricing credit default swaps with Parisian and Parasian default mechanics
• Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model
• On the term structure of lending interest rates when a fraction of collateral is recovered upon default
• Total return swap valuation with counterparty risk and interest rate risk
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• Closed-form solutions for pricing credit-risky bonds and bond options
• The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• On Cox processes and credit risky securities
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• Tempered stable structural model in pricing credit spread and credit default swap
• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
• The pricing of credit risk derivatives
• Affine processes and applications in finance
• Asymptotic analysis for one-name credit derivatives
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• The valuation of multi-counterparties CDS with credit rating migration
• Credit Risk Propagation in Structural-Form Models
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• A jump to default extended CEV model: an application of Bessel processes
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Pricing the risks of default
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• A Monte-Carlo based approach for pricing credit default swaps with regime switching
• Dynamic asset pricing theory with uncertain time-horizon
• Default-risky bond prices with jumps, liquidity risk and incomplete information
• Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
• Decomposition of default probability under a structural credit risk model with jumps
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• Counterparty risk valuation on credit-linked notes under a Markov chain framework
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
• Pricing credit derivatives under stochastic recovery in a hybrid model
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
• A boundary crossing model of counterparty risk
• Default risk and derivative products
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market
• Credit risky securities valuation under a contagion model with interacting intensities
• The optimal analysis of default probability for a credit risk model
• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
• The optimal capital structure of the firm with stable Lévy assets returns
• Implied recovery
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• Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
• Default Probabilities for Mortgages
• Default Risk, Asset Pricing, and Debt Control
• Pricing corporate bonds with credit risk, liquidity risk, and their correlation
• The valuation and behavior of Black-Scholes options subject to intertemporal default risk
• Interacting default intensity with a hidden Markov process
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
• Default risk and derivative products
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• Optimal investment in a defaultable bond
• On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
• Pricing of multiple defaultable bond
• Number of paths versus number of basis functions in American option pricing

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