Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
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Publication:4903546
DOI10.1080/00207160.2012.657184zbMath1255.91129MaRDI QIDQ4903546
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.657184
credit derivatives; reduced-form model; loan credit default swap; CIR and inverse CIR process; default and prepayment risk
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Cites Work
- Credit events and the valuation of credit derivatives of basket type
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model
- Affine processes and applications in finance
- A Theory of the Term Structure of Interest Rates
- An equilibrium characterization of the term structure
- Credit risk: Modelling, valuation and hedging