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Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

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  • Jin Liang

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  • Jun Ma
  • Tao Wang
  • Qin Ji
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-010-9119-z
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 1 (March)
    Pages: 33-54

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:1:p:33-54

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Portfolio credit derivatives; Vasicek model; Credit default swaps; Collateralized debt obligation; Default intensity correlation;

    References

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    1. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    2. Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-76.
    3. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    4. Harry Zheng & Lishang Jiang, 2009. "Basket CDS pricing with interacting intensities," Finance and Stochastics, Springer, vol. 13(3), pages 445-469, September.
    5. Mark B. Wise & Vineer Bhansali, 2008. "Correlated Random Walks and the Joint Survival Probability," Papers 0812.2000, arXiv.org.
    6. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
    7. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2005. "PDE approach to valuation and hedging of credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 257-270.
    8. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    9. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
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    Cited by:
    1. Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.

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