Pricing credit default swap with contagious risk and simulation

Autor:	Yonghui Liu, Zhouhong Hu, Ruili Hao, Jinqing Zhang
Rok vydání:	2016
Předmět:	Vasicek model 050208 finance Multidisciplinary Credit default swap Actuarial science 05 social sciences Credit default swap index iTraxx Loan 0502 economics and business Economics Rational pricing Non-performing loan 050205 econometrics Credit risk
Zdroj:	Journal of Shanghai Jiaotong University (Science). 21:57-62
ISSN:	1995-8188 1007-1172
Popis:	This paper mainly studies the pricing of credit default swap (CDS) with the loan as the reference asset, and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection’s seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::255d7d42471c87264321083fe2506a70 https://doi.org/10.1007/s12204-016-1699-y Zobrazit plný text záznamu Full text from SpringerLink