The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk
نویسندگان
چکیده
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 extensions of the models in Jarrow and Yu 2001 .
منابع مشابه
Counterparty Risk and the Pricing of Defaultable Securities
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