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Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

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  • Jin Liang
  • Jun Ma
  • Tao Wang
  • Qin Ji

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  • Jin Liang & Jun Ma & Tao Wang & Qin Ji, 2011. "Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 33-54, March.
    • Handle: RePEc:kap:apfinm:v:18:y:2011:i:1:p:33-54
    DOI: 10.1007/s10690-010-9119-z
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Harry Zheng & Lishang Jiang, 2009. "Basket CDS pricing with interacting intensities," Finance and Stochastics, Springer, vol. 13(3), pages 445-469, September.
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-576.
    5. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    6. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    7. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
    8. Mark B. Wise & Vineer Bhansali, 2008. "Correlated Random Walks and the Joint Survival Probability," Papers 0812.2000, arXiv.org.
    9. Robert A. Jarrow & Fan Yu, 2008. "Counterparty Risk and the Pricing of Defaultable Securities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515, World Scientific Publishing Co. Pte. Ltd..
    10. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2005. "PDE approach to valuation and hedging of credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 257-270.
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    Cited by:

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    2. Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.

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