Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process-Reference-Cited by-同舟云学术

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Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process

Published:2024-05-09 Issue: Volume: Page:1-0
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Xing Yu¹²,Wang Wei³,Su Xiaonan²⁴

Affiliation:

1. School of Finance, Nanjing Audit University, Nanjing, China

2. Key Laboratory of Financial Engineering, Nanjing Audit University, Nanjing, China

3. School of Mathematics and Statistics, Ningbo University, Ningbo, China

4. School of Mathematics, Nanjing Audit University, Nanjing, China

Funder

Philosophy and Social Science Research in Colleges and Universities of Jiangsu Province

Open project of Jiangsu key laboratory of financial engineering

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2024.2349715

Reference36 articles.

1. Mutual excitation in Eurozone sovereign CDS

2. Bacry E. I. Mastromatteo and J. Muzy 2015. Hawkes processes in finance. Market Microstructure and Liquidity 1:1–59.

3. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

4. COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

5. Crépey S. M. Jeanblanc and B. Zargari 2010. Counterparty risk on a CDS in a Markov chain copula model with joint defaults. In Recent advances in financial engineering ed. M. Kijima C. Hara Y. Muromachi and K. Tanaka 91–126. Singapore: World Scientific.

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