Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
Year of publication: |
2014
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Authors: | Dong, Yinghui ; Wang, Guojing |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 40.2014, p. 91-100
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Subject: | Credit default swap | Counterparty risk | Credit valuation adjustment | Contagion model | Markov chain | Theorie | Theory | Finanzdienstleistung | Financial services | Kreditderivat | Credit derivative | Markov-Kette | Kreditrisiko | Credit risk | Ansteckungseffekt | Contagion effect |
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