Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest-Reference-Cited by-同舟云学术

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Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest

Published:2012-03 Issue:2 Volume:29 Page:471-477
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Bao Qunfang,Chen Si,Li Shenghong

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference15 articles.

1. Survival Measures and Interacting Intensity Model: With Applications in Guaranteed Debt Pricing, Zhejiang University, Working Paper;Bao,2010

2. Counterparty risk valuation for CDS;Blanchet-Scalliet,2008

3. Counterparty risk for credit default swaps: impact of spread and default correlation;Brigo,2008

4. Interest Rate Models: Theory and Practice;Brigo,2005

5. A general formula for valuing defaultable securities;Collin-Dufresene;Econometrica,2004

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1. Reduced-form models of correlated default timing: a systematic literature review;Journal of Accounting Literature;2022-12-14

2. FDMs for the PDEs of Option Pricing Under DEV Models with Counterparty Risk;Numerical Mathematics: Theory, Methods and Applications;2019-06

3. Credit risk contagion coupling with sentiment contagion;Physica A: Statistical Mechanics and its Applications;2018-12

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5. Basket CDS pricing with default intensities using a regime-switching shot-noise model;Communications in Statistics - Theory and Methods;2017-11-08

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