Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks

Author:

Lin Feng,Xie Si-yuan,Yang Jing-ping

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference44 articles.

1. Barges, M., Cossette, H., Loisel, S., Marceau, E. On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Astin Bulletin, 41(01): 215–238 (2011)

2. Barges, M., Cossette, H., Marceau, E. TVaR-based capital allocation with copulas. Insurance: Mathematics and Economics, 45(3): 348–361 (2009)

3. Basel II. International convergence of capital measurement and capital standards/Annex 6. Available at www.bis.org/publ/bcbs128.pdf, 2006

4. Bielecki, T.R., Rutkowski, M. Credit Risk: Modeling, Valuation and Hedging. Springer, Berlin, 2002

5. Brigo, D., Alfonsi, A. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance and Stochastics, 9(1): 29–42 (2005)

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