A Markov copula model with regime switching and its application

被引：0
|
作者：
Xue Liang
机构：
[1] Shanghai University of Finance and Economics,School of Statistics and Management
[2] University of Melbourne,Department of Economics
[3] Suzhou University of Science and Technology,Institute of Mathematics and Physics
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2016年 / 32卷
关键词：
Markov copula model; regime switching; Markov chain; credit default swap; bilateral counterparty risk; 60J27; 91B28;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Regime switching, which is described by a Markov chain, is introduced in a Markov copula model. We prove that the marginals (X,Hi), i = 1, 2, 3 of the Markov copula model (X,H) are still Markov processes and have martingale property. In this proposed model, a pricing formula of credit default swap (CDS) with bilateral counterparty risk is derived.
引用
收藏
页码：163 / 174
页数：11
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