Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model-Reference-Cited by-同舟云学术

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Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model

Published:2021-07-25 Issue: Volume: Page:1-24
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Zhi Kangquan¹,Qian Xiaosong²³,Xie Ayu¹

Affiliation:

1. Center for Financial Engineering, Soochow University, Suzhou, P.R. China

2. School of Mathematical Sciences and Center for Financial Engineering, Soochow University, Suzhou, P.R. China

3. Key Laboratory of Financial Mathematics (Putian University), Fujian Province University, Fujian Putian, P.R. China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1955383

Reference20 articles.

1. Blanchet-Scalliet, C., and F. Patras. 2008. Counterparty risk valuation for CDS. Working paper, Department of Mathematics and Computer Science, École Centrale de Lyon.

2. Bilateral credit valuation adjustment for large credit derivatives portfolios

3. Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

4. Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing of Credit Risk Derivatives with Stochastic Interest Rate;Axioms;2023-08-12

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