Multi-currency credit default swaps

DOI10.1142/S0219024919500183zbMATH Open1411.91546OpenAlexW2936377275WikidataQ128013707 ScholiaQ128013707MaRDI QIDQ5384682FDOQ5384682

Authors: Damiano Brigo, Nicola Pede, Andrea Petrelli 

Publication date: 24 June 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500183

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zbMATH Keywords

credit default swapscredit crisisintensity modelsreduced form modelsliquidity crisisquanto CDSdevaluation jumpFX devaluationmulti currency CDSquanto credit effects

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Cites Work

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• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Pricing and trading credit default swaps in a hazard process model
• PDE approach to valuation and hedging of credit derivatives
• A family of density expansions for Lévy-type processes
• An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
• High-order ADI schemes for convection-diffusion equations with mixed derivative terms
• ANALYTIC PRICING OF CoCo BONDS

Cited In (5)

• New model for pricing quanto credit default swaps
• Inside the EMs risky spreads and CDS-sovereign bonds basis
• Cross Currency Valuation and Hedging in the Multiple Curve Framework
• Mutual excitation in Eurozone sovereign CDS
• Estimating redenomination risk under Gumbel-Hougaard survival copulas

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