Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity

被引：26

作者：

Leung K.S. ^{[1
]}

Kwok Y.K. ^{[2
]}

机构：

[1] Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Shatin, Hong Kong

[2] Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong, Clear Water Bay

来源：

Asia-Pacific Financial Markets | 2009年 / 16卷 / 3期

关键词：

Counterparty risk; Credit default swaps; Default correlation; Markov chain model;

D O I：

10.1007/s10690-009-9091-7

中图分类号：

学科分类号：

摘要：

We analyze the counterparty risk for credit default swaps using the Markov chain model of portfolio credit risk of multiple obligors with interacting default intensity processes. The default correlation between the protection seller and underlying entity is modeled by an increment in default intensity upon the occurrence of an external shock event. The arrival of the shock event is a Cox process whose stochastic intensity is assumed to follow an affine diffusion process with jumps. We examine how the correlated default risks between the protection seller and the underlying entity may affect the credit default premium in a credit default swap. © Springer Science+Business Media, LLC. 2009.

引用

页码：169 / 181

页数：12

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