A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES
نویسندگان
چکیده
منابع مشابه
Counterparty Risk Valuation for Cds
The valuation of counterparty risk for single name credit derivatives requires the computation of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distributions. As an application, closed formulas for coun-terparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.
متن کاملThe Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk
We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques in Park 2008 to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are ext...
متن کاملCounterparty risk and Contingent CDS valuation under correlation between interest-rates and default
We consider counterparty risk for interest rate payoffs in presence of correlation between the default event and interest rates. The previous analysis of Brigo and Masetti (2006), assuming independence, is further extended to interest rate payoffs different from simple swap portfolios. A stochastic intensity model with possible jumps is adopted for the default event. We find that correlation be...
متن کاملCounterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults
In this paper we study the counterparty risk on a payer CDS in a Markov chain model of two reference credits, the firm underlying the CDS and the protection seller in the CDS. We first state few preliminary results about pricing and CVA of a CDS with counterparty risk in a general set-up. We then introduce a Markov chain copula model in which wrong way risk is represented by the possibility of ...
متن کاملJump locations of jump-diffusion processes with state-dependent rates
We propose a general framework for studying statistics of jump-diffusion systems driven by both Brownian noise (diffusion) and a jump process with state-dependent intensity. Of particular natural interest in many physical systems are the jump locations: the system evaluated at the jump times. As an example, this could be the voltage at which a neuron fires, or the so-called ‘threshold voltage’....
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Korea Society for Industrial and Applied Mathematics
سال: 2015
ISSN: 1226-9433
DOI: 10.12941/jksiam.2015.19.023