Valuation of credit contingent interest rate swap with credit rating migration

DOI10.1080/00207160.2020.1713315MaRDI QIDQ5031189zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 18 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2020.1713315

zbMATH Keywords

counterparty default riskcredit rating migrationcredit contingent interest rates swapcredit risk measurederivative pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 6532006 (Why is no real title available?)
• A free boundary problem for corporate bond with credit rating migration
• A fully non-linear PDE problem from pricing CDS with counterparty risk
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
• Counterparty risk pricing under correlation between default and interest rates
• On Cox processes and credit risky securities
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
• Valuation of credit contingent interest rate swap

Cited in

(5)

• scientific article; zbMATH DE number 7071671 (Why is no real title available?)
• Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
• scientific article; zbMATH DE number 6532006 (Why is no real title available?)
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• Valuation of credit contingent interest rate swap

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