The Pricing of Credit Default Swaps with Counterparty Risk: Interacting Intensities Model under Regime Switching

被引：0
|
作者：
Dong Yinghui [1 ]
机构：
[1] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China
来源：
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2 | 2011年
关键词：
Credit default swaps; Counterparty risk; Regime switching;
D O I：
暂无
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
We consider the pricing of credit default swap with counterparty risk under a regime switching model, in which the default intensities of the protection seller and the reference entity are both influenced by an external shock event. The arrival of the shock event is a Cox process whose stochastic intensity depends on the state of the economy described by a Markov chain. We give the explicit formula for the price of credit default swap premium with counterparty risk.
引用
收藏
页码：616 / 620
页数：5
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