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Basket CDS pricing with interacting intensities

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Author Info

  • Harry Zheng

    ()

  • Lishang Jiang

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0091-2
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 3 (September)
    Pages: 445-469

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    Handle: RePEc:spr:finsto:v:13:y:2009:i:3:p:445-469

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Factor contagion model; Basket CDS; Analytic pricing formula; Counterparty risk; Stochastic intensity; 60J75; 65C20; 91B28; C63;

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    References

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    1. M. Davis & V. Lo, 2001. "Infectious defaults," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 382-387.
    2. Shaked, Moshe & George Shanthikumar, J., 1987. "The multivariate hazard construction," Stochastic Processes and their Applications, Elsevier, vol. 24(2), pages 241-258, May.
    3. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
    2. Jin Liang & Jun Ma & Tao Wang & Qin Ji, 2011. "Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model," Asia-Pacific Financial Markets, Springer, vol. 18(1), pages 33-54, March.
    3. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
    4. Takada, Hideyuki & Sumita, Ushio, 2011. "Credit risk model with contagious default dependencies affected by macro-economic condition," European Journal of Operational Research, Elsevier, vol. 214(2), pages 365-379, October.

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