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A General Formula for Valuing Defaultable Securities

Citations

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Cited by:

  1. Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CIRJE F-Series CIRJE-F-799, CIRJE, Faculty of Economics, University of Tokyo.
  2. Kreher, Dörte, 2017. "Change of measure up to a random time: Details," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1565-1598.
  3. Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010. "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper 27698, University Library of Munich, Germany, revised 27 Dec 2010.
  4. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31, July-Dece.
  5. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.
  6. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
  7. Berndt, Antje & Jarrow, Robert A. & Kang, ChoongOh, 2007. "Restructuring risk in credit default swaps: An empirical analysis," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1724-1749, November.
  8. Fisher, Travis & Pulido, Sergio & Ruf, Johannes, 2019. "Financial models with defaultable numéraires," LSE Research Online Documents on Economics 84973, London School of Economics and Political Science, LSE Library.
  9. Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
  10. Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
  11. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
  12. Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence," Papers 1104.1855, arXiv.org.
  13. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
  14. Herbertsson, Alexander, 2007. "Modelling Default Contagion Using Multivariate Phase-Type Distributions," Working Papers in Economics 271, University of Gothenburg, Department of Economics.
  15. Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007. "Common Failings: How Corporate Defaults Are Correlated," Journal of Finance, American Finance Association, vol. 62(1), pages 93-117, February.
  16. Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe, 2010. "Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 645-662.
  17. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper 28250, University Library of Munich, Germany, revised 27 Dec 2010.
  18. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
  19. Albanese Claudio & Armenti Yannick & Crépey Stéphane, 2020. "XVA metrics for CCP optimization," Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 25-53, January.
  20. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007, January-A.
  21. Ma, Jin & Yun, Youngyun, 2010. "Correlated intensity, counter party risks, and dependent mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 337-351, December.
  22. Dong, Yinghui & Yuen, Kam C. & Wu, Chongfeng, 2014. "Unilateral counterparty risk valuation of CDS using a regime-switching intensity model," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 25-35.
  23. repec:mth:ijafr8:v:8:y:2018:i:4:p:248-286 is not listed on IDEAS
  24. Leonard Tchuindjo, 2007. "Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 19-39.
  25. Feng Jianfen & Chen Dianfa & Yu Mei, 2014. "Pricing Defaultable Securities under Actual Probability Measure," Journal of Systems Science and Information, De Gruyter, vol. 2(4), pages 313-334, August.
  26. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
  27. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
  28. Eric Wong & Cho-Hoi Hui, 2009. "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers 0906, Hong Kong Monetary Authority.
  29. Cyril Durand & Marek Rutkowski, 2013. "CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions," Papers 1307.6486, arXiv.org.
  30. Bao, Qunfang & Chen, Si & Li, Shenghong, 2012. "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, vol. 29(2), pages 471-477.
  31. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
  32. St'ephane Cr'epey & Shiqi Song, 2017. "Invariance times," Papers 1702.01045, arXiv.org.
  33. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial Models with Defaultable Numéraires," Post-Print hal-01240736, HAL.
  34. Meres, Bernardo & Almeida, Caio, 2008. "Extracting Default Probabilities from Sovereign Bonds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(1), May.
  35. Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
  36. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.
  37. Yinghui Dong & Kam C. Yuen & Guojing Wang & Chongfeng Wu, 2016. "A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 459-486, June.
  38. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
  39. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, September.
  40. James Wolter, 2015. "Asymptotics for Sieve Estimators of Hazard Rates: Estimating Hazard Functionals," Economics Series Working Papers 760, University of Oxford, Department of Economics.
  41. Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston, 2020. "Network valuation in financial systems," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1181-1204, October.
  42. Crépey, Stéphane & Song, Shiqi, 2015. "BSDEs of counterparty risk," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3023-3052.
  43. Stéphane Crépey & Shiqi Song, 2017. "Invariance Times ," Working Papers hal-01455414, HAL.
  44. Xiaolin Wang & Zhaojun Yang & Pingping Zeng, 2023. "Pricing contingent convertibles with idiosyncratic risk," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 660-693, September.
  45. Fanelli, Viviana, 2017. "Implications of implicit credit spread volatilities on interest rate modelling," European Journal of Operational Research, Elsevier, vol. 263(2), pages 707-718.
  46. Yang Shen & Tak Kuen Siu, 2018. "A Risk-Based Approach for Asset Allocation with A Defaultable Share," Risks, MDPI, vol. 6(1), pages 1-27, February.
  47. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper 26277, University Library of Munich, Germany.
  48. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
  49. Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
  50. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
  51. Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
  52. 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.
  53. Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CARF F-Series CARF-F-246, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  54. Herbertsson, Alexander, 2007. "Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach," Working Papers in Economics 270, University of Gothenburg, Department of Economics.
  55. Dong, Yinghui & Wang, Guojing, 2014. "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, vol. 40(C), pages 91-100.
  56. Stéphane Crépey & Shiqi Song, 2014. "BSDEs of Counterparty Risk," Working Papers hal-01088941, HAL.
  57. Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
  58. Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.
  59. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial models with defaultable numéraires," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 117-136, January.
  60. Masaaki Fujii & Akihiko Takahashi, 2012. "Collateralized CDS and Default Dependence -Implications for the Central Clearing," CARF F-Series CARF-F-281, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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