The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk
نویسندگان
چکیده
منابع مشابه
The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk
We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques in Park 2008 to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are ext...
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Motivated by recent financial crises in East Asia and the U.S. where the downfall of a small number of firms had an economy-wide impact, this paper generalizes existing reduced-form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure to common risk factors, but also to firm-specific risks tha...
متن کاملCounterparty Credit Risk Modeling: Risk Management, Pricing and Regulation
* Marco Tarenghi contributed to the numerical part on the Equity Return Swap example. We are grateful to Aurelien Alfonsi, Eymen Errais and Massimo Morini for comments and suggestions. Umberto Cherubini helped us with references and further suggestions.
متن کاملEfficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR frameworks by focusing on the most widely used and regul...
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In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2011
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2011/412565