Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities
We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, de...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2011/158020 |
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