Search Results - subject:"Survival measure"

Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest

Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - Volkswirtschaftliche Fakultät, … - 2010

rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is …

Persistent link: https://www.econbiz.de/10008685037

Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing

Bao, Qunfang; Li, Shenghong; Liu, Guimei - Volkswirtschaftliche Fakultät, … - 2010

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher … expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin …-Duresne[4] to avoid calculating a troublesome jump in IBPR reduced-form model. This paper considers survival measure in "HBPR …

Persistent link: https://www.econbiz.de/10008777068

Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest

Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - Volkswirtschaftliche Fakultät, … - 2010

rate is incorporated as well to account for positive correlation between spread and interest. Survival measure approach is …

Persistent link: https://www.econbiz.de/10008805870

Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest

Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic Modelling 29 (2012) 2, pp. 471-477

-intensity and interest. Survival measure approach is employed to calculate NPV of a risk-free CDS, and semi-analytical solution for …

Persistent link: https://www.econbiz.de/10010573389

Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest

Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-477

Persistent link: https://www.econbiz.de/10009536792