Valuation and hedging of CDS counterparty exposure in a Markov copula model
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Publication:5389101
DOI10.1142/S0219024911006498zbMATH Open1243.91100MaRDI QIDQ5389101FDOQ5389101
Authors: Tomasz R. Bielecki, Stéphane Crépey, Behnaz Zargari, Monique Jeanblanc 
Publication date: 24 April 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
Cited In (41)
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- A multivariate jump diffusion process for counterparty risk in CDS rates
- Multivariate Markov families of copulas
- Hedging default risks of CDOs in Markovian contagion models
- Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
- A Markov copula model with regime switching and its application
- A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
- Credit derivative evaluation and CVA under the benchmark approach
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
- CVA under alternative settlement conventions and with systemic risk
- A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
- Dynamic hedging of counterparty exposure
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
- CVA with wrong way risk: sensitivities, volatility and hedging
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- Extending the Merton model with applications to credit value adjustment
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- The valuation of multi-counterparties CDS with credit rating migration
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- Inhomogeneous time change equations for Markov chains and their applications
- Counterparty risk valuation on credit-linked notes under a Markov chain framework
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- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
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- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
- Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Credit default swaps in two-dimensional models with various informations flows
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Time-changed CIR default intensities with two-sided mean-reverting jumps
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- INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
- Conditional Markov chains: properties, construction and structured dependence
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
- Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise
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