Dong, Yinghui; Liang, Xue; Wang, Guojing - In: Asia-Pacific Financial Markets 19 (2012) 4, pp. 391-415
We consider the credit valuation adjustment (CVA) of credit default swap under an interacting intensities model. The default intensities of the protection seller and the reference entity are both influenced by an external shock event. The arrival of the shock event is a regime switching Poisson...