Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Year of publication: |
2013
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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
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Subject: | Credit default swaps | counterparty risk | risk-neutral credit valuation adjustment | default intensity | default correlation | simultaneous default | Markov copula model | Finanzdienstleistung | Financial services | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Derivat | Derivative | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Swap | Markov-Kette | Markov chain |
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