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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
KeywordsCDS
Counterparty credit risk
Cox process
Credit valuation adjustment
Regime switching
Issue Date2013
Citation
Methodology and Computing in Applied Probability, 2013 How to Cite?
Persistent Identifierhttp://hdl.handle.net/10722/186286
ISSN
2019 Impact Factor: 0.809
2015 SCImago Journal Rankings: 0.502
ISI Accession Number ID

 

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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