Modelling bonds and credit default swaps using a structural model with contagion
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- Tingqiang Chen & Xindan Li & Jining Wang, 2015. "Spatial Interaction Model of Credit Risk Contagion in the CRT Market," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 519-537, December.
- Alexander Lipton & Ioana Savescu, 2012. "Pricing credit default swaps with bilateral value adjustments," Papers 1207.6049, arXiv.org.
- Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris Nanterre, EconomiX.
- S. Heise & R. Kühn, 2012.
"Derivatives and credit contagion in interconnected networks,"
The European Physical Journal B: Condensed Matter and Complex Systems,
Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
- Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
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KeywordsApplied mathematical finance; Quantitative finance; Credit derivatives; Credit default swaps; Credit models;
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