Counterparty risk valuation of k th-to-default credit-linked notes with contagion risk

DOI10.1080/03610926.2024.2396491MaRDI QIDQ6981652zbMATH OpenFDO

Authors Kangquan Zhi, Xiao-Song Qian, Pin Wang

Publication date 20 May 2025

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2024.2396491

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Counterparty risk valuation on credit-linked notes under a Markov chain framework
• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Credit portfolio selection with decaying contagion intensities
• Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• Research on CDS pricing model with endogenous recovery rate
• Tempered stable structural model in pricing credit spread and credit default swap
• The valuation of multi-counterparties CDS with credit rating migration
• Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model

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