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Article: Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

TitleValuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Authors
Dong, YYuen, KCWang, G
Keywordsbilateral credit valuation adjustment
common shock
Credit default swap (CDS)
Markov chain
regime-switching shot noise process
Issue Date2017
PublisherHigher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464
Citation
Frontiers of Mathematics in China, 2017, v. 12 n. 5, p. 1085-1112 How to Cite?
DOI: http://dx.doi.org/10.1007/s11464-017-0656-x
Persistent Identifierhttp://hdl.handle.net/10722/248576
ISSN
1673-3452
2021 Impact Factor: 0.871
2020 SCImago Journal Rankings: 0.482
ISI Accession Number ID
WOS:000410866200004

 

DC FieldValueLanguage
dc.contributor.authorDong, Y-
dc.contributor.authorYuen, KC-
dc.contributor.authorWang, G-
dc.date.accessioned2017-10-18T08:45:19Z-
dc.date.available2017-10-18T08:45:19Z-
dc.date.issued2017-
dc.identifier.citationFrontiers of Mathematics in China, 2017, v. 12 n. 5, p. 1085-1112-
dc.identifier.issn1673-3452-
dc.identifier.urihttp://hdl.handle.net/10722/248576-
dc.languageeng-
dc.publisherHigher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464-
dc.relation.ispartofFrontiers of Mathematics in China-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/[insert DOI]-
dc.subjectbilateral credit valuation adjustment-
dc.subjectcommon shock-
dc.subjectCredit default swap (CDS)-
dc.subjectMarkov chain-
dc.subjectregime-switching shot noise process-
dc.titleValuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.doi10.1007/s11464-017-0656-x-
dc.identifier.scopuseid_2-s2.0-85028815999-
dc.identifier.hkuros282108-
dc.identifier.volume12-
dc.identifier.issue5-
dc.identifier.spage1085-
dc.identifier.epage1112-
dc.identifier.isiWOS:000410866200004-
dc.publisher.placeChina-
dc.identifier.issnl1673-3452-

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