CUTTING EDGE - Hybrid products - Counterparty risk and CCDSs under correlation - Counterparty risk under correlation is relatively unexplored in the financial literature. Here, the authors extend previous analysis beyond simple swap portfolios. A stochastic intensity jump diffusion model is adopted for the default event, and correlation between interest rates and credit shows a relevant and ...
| Year of publication: |
2008
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|---|---|
| Authors: | Brigo, Damiano ; Pallavicini, Andrea |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 2, p. 84-88
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