Analytically Pricing Credit Default Swaps Under a Regime-Switching Model
نویسندگان
چکیده
منابع مشابه
Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk ∗
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
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∗This work was completed during our visit to the Isaac Newton Institute for Mathematical Sciences in Cambridge. We thank the organizers of the programme Developments in Quantitative Finance for the kind invitation. †The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. ‡The research of M. Jeanblanc was supported by Zéliade, Itô33, and Moody’s Co...
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ژورنال
عنوان ژورنال: Fluctuation and Noise Letters
سال: 2019
ISSN: 0219-4775,1793-6780
DOI: 10.1142/s0219477519500214