Basket CDS pricing with interacting intensities
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DOI: 10.1007/s00780-009-0091-2
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Cited by:
- Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013.
"On pricing basket credit default swaps,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1845-1854, December.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
- 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.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2014.
"On reduced-form intensity-based model with ‘trigger’ events,"
Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(3), pages 331-339, March.
- Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
- Lian Tang & Bin Wang & Kai-Nan Xiang, 2016. "Portfolio credit risk with predetermined default orders," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 131-149, January.
- Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2017.
"Interacting default intensity with a hidden Markov process,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 781-794, May.
- Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
- Takada, Hideyuki & Sumita, Ushio, 2011. "Credit risk model with contagious default dependencies affected by macro-economic condition," European Journal of Operational Research, Elsevier, vol. 214(2), pages 365-379, October.
- Geon Ho Choe & Hyun Jin Jang & Soon Won Kwon, 2015. "A factor contagion model for portfolio credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1571-1582, September.
- Ping Li & Ze†Zheng Li, 2015. "Change Analysis for the Dependence Structure and Dynamic Pricing of Basket Default Swaps," European Financial Management, European Financial Management Association, vol. 21(4), pages 646-671, September.
- Jun Park, Jong & Jang, Hyun Jin, 2022. "An analytic approach To network-based modelling for contagious defaults," Finance Research Letters, Elsevier, vol. 44(C).
- Feng-Hui Yu & Jiejun Lu & Jia-Wen Gu & Wai-Ki Ching, 2019. "Modeling Credit Risk with Hidden Markov Default Intensity," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1213-1229, October.
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More about this item
Keywords
Factor contagion model; Basket CDS; Analytic pricing formula; Counterparty risk; Stochastic intensity; 60J75; 65C20; 91B28; C63;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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