Basket CDS pricing with interacting intensities
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On pricing basket credit default swaps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
- 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;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 33-54, March.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2014.
"On reduced-form intensity-based model with ‘trigger’ events,"
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- 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.
- 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.
- Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
More about this item
KeywordsFactor contagion model; Basket CDS; Analytic pricing formula; Counterparty risk; Stochastic intensity; 60J75; 65C20; 91B28; C63;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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