Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
Yinghui Dong; Guojing Wang
| Year of publication: |
2014
|
|---|---|
| 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
|
| Subject: | Credit default swap | Counterparty risk | Credit valuation adjustment | Contagion model | Markov chain | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Markov-Kette | Theorie | Theory | Ansteckungseffekt | Contagion effect | Derivat | Derivative | Finanzkrise | Financial crisis | Kreditversicherung | Credit insurance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010425718