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

DOI10.1080/00207160.2012.657184MaRDI QIDQ4903546zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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Cites work

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

Cited in

(5)

• 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
• Prepayment option of a perpetual corporate loan: the impact of the funding costs

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