Valuation of credit contingent interest rate swap with credit rating migration
DOI10.1080/00207160.2020.1713315zbMATH Open1483.91254OpenAlexW3000316499WikidataQ126384129 ScholiaQ126384129MaRDI QIDQ5031189FDOQ5031189
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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
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counterparty default riskcredit rating migrationcredit contingent interest rates swapcredit risk measurederivative pricing model
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)
Cites Work
- On Cox processes and credit risky securities
- A free boundary problem for corporate bond with credit rating migration
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
- A fully non-linear PDE problem from pricing CDS with counterparty risk
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Counterparty risk pricing under correlation between default and interest rates
- Title not available (Why is that?)
- Valuation of credit contingent interest rate swap
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Cited In (5)
- Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
- Title not available (Why is that?)
- COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
- Valuation of credit contingent interest rate swap
- Title not available (Why is that?)
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