Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity
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DOI: 10.1007/s10690-009-9091-7
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References listed on IDEAS
- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515,
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow & Fan Yu, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
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- Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
- Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper 28250, University Library of Munich, Germany, revised 27 Dec 2010.
- Dong, Yinghui & Wang, Guojing, 2014. "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, vol. 40(C), pages 91-100.
- Yinghui Dong & Xue Liang & Guojing Wang, 2012. "Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 391-415, November.
- Dong-Mei Zhu & Wai-Ki Ching & Robert J. Elliott & Tak-Kuen Siu & Lianmin Zhang, 2017. "A Higher-order interactive hidden Markov model and its applications," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(4), pages 1055-1069, October.
- Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper 26277, University Library of Munich, Germany.
- Bao, Qunfang & Chen, Si & Li, Shenghong, 2012. "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, vol. 29(2), pages 471-477.
- Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010. "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper 27698, University Library of Munich, Germany, revised 27 Dec 2010.
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Keywords
Credit default swaps; Counterparty risk; Markov chain model; Default correlation;All these keywords.
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