搜索结果: 1-5 共查到“经济学 credit default swap”相关记录5条 . 查询时间(0.046 秒)
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2009/5/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the p...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2010/12/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the pr...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...