Multi-currency credit default swaps

DOI10.1142/S0219024919500183MaRDI QIDQ5384682zbMATHOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• A family of density expansions for Lévy-type processes
• ANALYTIC PRICING OF CoCo BONDS
• An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• High-order ADI schemes for convection-diffusion equations with mixed derivative terms
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical methods for financial markets.
• PDE approach to valuation and hedging of credit derivatives
• Pricing and trading credit default swaps in a hazard process model
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach

Cited in

(5)

• New model for pricing quanto credit default swaps
• Estimating redenomination risk under Gumbel-Hougaard survival copulas
• 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

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