Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Long Teng, Matthias Ehrhardt and Michael Günther
| Year of publication: |
2013
|
|---|---|
| Authors: | Teng, Long ; Ehrhardt, Matthias ; Günther, Michael |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 7, p. 1-20
|
| Subject: | Credit default swaps | counterparty risk | risk-neutral credit valuation adjustment | default intensity | default correlation | simultaneous default | Markov copula model | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Insolvenz | Insolvency | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Kreditversicherung | Credit insurance | Markov-Kette | Markov chain | Korrelation | Correlation | Optionspreistheorie | Option pricing theory |
| 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/10010233305