Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

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

Published:2010-06 Issue: Volume: Page:
ISSN:
Container-title:Recent Advances in Financial Engineering 2009
language:
Short-container-title:

Author:

Crépey S.¹²,Jeanblanc M.¹²,Zargari B.¹³

Affiliation:

1. Équipe Analyse et Probabilité, Université d'Évry Val d'Essonne, Bd. F. Mitterrand, 91025 Évry Cedex, France

2. CRIS Consortium, France

3. Dept. of Mathematical Sciences, Sharif University of Technology, Azadi Ave., PO Box: 11365-11155, Tehran, Iran

Publisher

WORLD SCIENTIFIC

Cited by 21 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. Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process;Communications in Statistics - Theory and Methods;2024-05-09

2. Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model;Communications in Statistics - Theory and Methods;2021-07-25

3. Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities;Frontiers of Mathematics in China;2017-09-04

4. Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks;Journal of Mathematical Analysis and Applications;2017-07

5. Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk;Advances in Applied Probability;2017-06

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP