BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS
Year of publication: |
2013
|
---|---|
Authors: | TENG, LONG ; EHRHARDT, MATTHIAS ; GÜNTHER, MICHAEL |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 16.2013, 07, p. 1350040-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit default swaps | counterparty risk | risk-neutral credit valuation adjustment | default intensity | default correlation | simultaneous default | Markov copula model |
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