Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise

MaRDI QIDQ4574504zbMATH OpenFDO

Authors

Publication date 18 July 2018

zbMATH Keywords

Markov copula modelcounterparty riskdefault dependencecollateralizationshot noise

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Martingales with continuous parameter (60G44)

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• A Markov copula model with regime switching and its application
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model

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