Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities

DOI10.1080/00207160.2012.657184zbMATH Open1255.91129OpenAlexW2019110616MaRDI QIDQ4903546FDOQ4903546

Authors: Jin Liang, Tao Wang 

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

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zbMATH Keywords

reduced-form modelcredit derivativesloan credit default swapCIR and inverse CIR processdefault and prepayment risk

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Affine processes and applications in finance
• Credit risk: Modelling, valuation and hedging
• Credit events and the valuation of credit derivatives of basket type
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model

Cited In (5)

• Prepayment option of a perpetual corporate loan: the impact of the funding costs
• The valuation of multi-counterparties CDS with credit rating migration
• Valuation of the prepayment option of a perpetual corporate loan
• Valuation of credit contingent interest rate swap with credit rating migration
• A collateralized loan's loss under a quadratic Gaussian default intensity process

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