Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery

Author:

Itkin Andrey,Soleymani Fazlollah

Publisher

Elsevier BV

Subject

Modelling and Simulation,General Computer Science,Theoretical Computer Science

Reference45 articles.

1. Multi currency credit default swaps Quanto effects and FX devaluation jumps;Brigo,2015

2. New model for pricing quanto credit default swaps;Itkin;Int. J. Theor. Appl. Finance,2019

3. Sovereign credit risk and exchange rates: Evidence from CDS Quanto spreads;Augustin;J. Financ. Econ.,2020

4. Z. Simon, Not Risk Free: The Relative Pricing of Euro Area Inflation-Indexed and Nominal Bonds. Netspar Discussion Paper, 11(074), 2015.

5. The Influence of FX Risk on Credit Spreads;Ehlers,2006

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