Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-29
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS).
This model assumes that default intensities are driven by external common factors as well as other defaults in the system.
Using the “total hazard” approach, default times can be generated and the joint density function is obtained.
We represent the pricing method of defaultable bonds and obtain the closed-form pricing formulas.
By the approach of “change of measure,” analytical solutions of CDS swap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively.
American Psychological Association (APA)
Wang, Anjiao& Ye, Zhongxing. 2011. Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities. Journal of Applied Mathematics،Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-450434
Modern Language Association (MLA)
Wang, Anjiao& Ye, Zhongxing. Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities. Journal of Applied Mathematics No. 2011 (2011), pp.1-20.
https://search.emarefa.net/detail/BIM-450434
American Medical Association (AMA)
Wang, Anjiao& Ye, Zhongxing. Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities. Journal of Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-450434
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-450434