Pricing of Credit Risk Derivatives with Stochastic Interest Rate

Pricing of Credit Risk Derivatives with Stochastic Interest Rate

This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default states of counterparty firms and that the stocha...

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Bibliographic Details
Main Authors: Wujun Lv, Linlin Tian
Format: Article
Language:English
Published: MDPI AG 2023-08-01
Series:Axioms
Subjects:
reduced-form model
jump-diffusion CIR (JCIR) model
piecewise deterministic Markov process theory
martingale theory
defaultable bonds
credit default swap (CDS)
Online Access:https://www.mdpi.com/2075-1680/12/8/782

Internet

https://www.mdpi.com/2075-1680/12/8/782

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