Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model

被引：2
|
作者：
Dong, Yinghui [1 ]
Wang, Guojing [2 ,3 ]
Yuen, Kam C. [4 ]
机构：
[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215011, Peoples R China
[2] Soochow Univ, Dept Math, Suzhou 215006, Peoples R China
[3] Soochow Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China
[4] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2014年 / 16卷 / 03期
关键词：
Counterparty credit risk; CDS; Credit valuation adjustment; Cox process; Regime switching; CREDIT; SECURITIES; VOLATILITY; INTENSITY;
D O I：
10.1007/s11009-013-9323-1
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the counterparty risk on a CDS in a common shock model. We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk. Especially, we consider the pricing problem of credit default swap with counterparty risk under a common shock model with regime switching. The arrivals of the shock events are modeled by conditionally independent Cox processes whose stochastic intensities depend on the state of the economy described by a Markov chain. We give the explicit formula for the credit valuation adjustment (CVA) and examine the impact of the change of economic state on the CVA.
引用
收藏
页码：643 / 673
页数：31
相关论文
共 50 条
  • [1] Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model
    Yinghui Dong
    Guojing Wang
    Kam C. Yuen
    Methodology and Computing in Applied Probability, 2014, 16 : 643 - 673
  • [2] BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS
    Teng, Long
    Ehrhardt, Matthias
    Guenther, Michael
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2013, 16 (07)
  • [3] Model of counterparty risk with geometric attenuation and valuation of CDS
    Bai Yunfen Hu Xinhua Ye Zhongxing Department of Mathematics Shanghai Jiaotong University Shanghai China Department of Mathematics Shijiazhuang College Shijiazhuang China Guanghua Institute of Management Peking University Beijing China Postdoctoral Workstation of ICBC Beijing China
    Journal of Southeast University(English Edition), 2008, (English Edition) : 196 - 198
  • [4] Model of counterparty risk with geometric attenuation and valuation of CDS
    Bai Yunfen1
    Journal of Southeast University(English Edition), 2008, (S1) : 196 - 198
  • [5] Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
    Yang, Yifan
    Fabozzi, Frank J.
    Bianchi, Michele Leonardo
    INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015, 2 (01)
  • [6] Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model
    Yinghui Dong
    Xue Liang
    Guojing Wang
    Asia-Pacific Financial Markets, 2012, 19 (4) : 391 - 415
  • [7] Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model
    Dong, Yinghui
    Liang, Xue
    Wang, Guojing
    ASIA-PACIFIC FINANCIAL MARKETS, 2012, 19 (04) : 391 - 415
  • [8] Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
    Dong, Yinghui
    Yuen, Kam C.
    Wu, Chongfeng
    STATISTICS & PROBABILITY LETTERS, 2014, 85 : 25 - 35
  • [9] VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
    Bielecki, T. R.
    Crepey, S.
    Jeanblanc, M.
    Zargari, B.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2012, 15 (01)
  • [10] Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
    Dong, Yinghui
    Wang, Guojing
    ECONOMIC MODELLING, 2014, 40 : 91 - 100
12345