Bilateral counterparty risk valuation on a CDS with a common shock model

DOI10.1007/s11009-013-9323-1zbMath1307.91185OpenAlexW1988788841MaRDI QIDQ479176

Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 5 December 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9323-1

zbMATH Keywords

regime switchingCox processCDScredit valuation adjustmentcounterparty credit risk

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Option pricing and Esscher transform under regime switching
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Short rate nonlinearities and regime switches.
• AMERICAN OPTIONS WITH REGIME SWITCHING
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Information and option pricings
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Validation Of Long-Term Equity return Models For Equity-Linked Guarantees
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• A Regime-Switching Model of Long-Term Stock Returns

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