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Structural default model with mutual obligations
Itkin, Andrey; Lipton, Alexander - In: Review of derivatives research 20 (2017) 1, pp. 15-46
Persistent link: https://www.econbiz.de/10011930552
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Credit value adjustment for credit default swaps via the structural default model
Lipton, Alexander; Sepp, Artur - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10003874116
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Credit Value Adjustment for Credit Default Swaps via the Structural Default Model
Lipton, Alex - 2013
We propose a structural default model to evaluate the counterparty risk by trading in credit default swap (CDS) contracts. We model the joint evolution of the firm value of the entity underlying the CDS contract and the counterparty using a correlated jump-diffusion process. Unlike the...
Persistent link: https://www.econbiz.de/10013090076
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Credit Value Adjustment in the Extended Structural Default Model
Lipton, Alexander; Rennie, Andrew - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012882002