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Article: Bilateral Counterparty Risk Valuation On A Cds With A Common Shock Model

TitleBilateral Counterparty Risk Valuation On A Cds With A Common Shock Model
Authors
Dong, YWang, GYuen, KC
KeywordsCDS
Counterparty credit risk
Cox process
Credit valuation adjustment
Regime switching
Issue Date2013
Citation
Methodology and Computing in Applied Probability, 2013 How to Cite?
DOI: http://dx.doi.org/10.1007/s11009-013-9323-1
Persistent Identifierhttp://hdl.handle.net/10722/186286
ISSN
1387-5841
2021 Impact Factor: 0.880
2020 SCImago Journal Rankings: 0.481
ISI Accession Number ID
WOS:000339942500008

 

DC FieldValueLanguage
dc.contributor.authorDong, Yen_US
dc.contributor.authorWang, Gen_US
dc.contributor.authorYuen, KCen_US
dc.date.accessioned2013-08-20T12:02:45Z-
dc.date.available2013-08-20T12:02:45Z-
dc.date.issued2013-
dc.identifier.citationMethodology and Computing in Applied Probability, 2013en_US
dc.identifier.issn1387-5841-
dc.identifier.urihttp://hdl.handle.net/10722/186286-
dc.languageengen_US
dc.relation.ispartofMethodology and Computing in Applied Probabilityen_US
dc.subjectCDS-
dc.subjectCounterparty credit risk-
dc.subjectCox process-
dc.subjectCredit valuation adjustment-
dc.subjectRegime switching-
dc.titleBilateral Counterparty Risk Valuation On A Cds With A Common Shock Modelen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.identifier.doi10.1007/s11009-013-9323-1-
dc.identifier.scopuseid_2-s2.0-84905222145-
dc.identifier.hkuros220299en_US
dc.identifier.eissn1573-7713-
dc.identifier.isiWOS:000339942500008-
dc.publisher.placeSpringeren_US
dc.identifier.issnl1387-5841-

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