the intensity model for pricing credit securities with jump diffusion and counterparty risk

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ID: 201204
2011
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Abstract
We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques in Park (2008) to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are extensions of the models in Jarrow and Yu (2001).
Reference Key
hao2011mathematicalthe Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Ruili Hao;Zhongxing Ye
Journal journal of power sources
Year 2011
DOI
10.1155/2011/412565
URL
http://dx.doi.org/10.1155/2011/412565
Keywords
civil engineering (general)mathematics engineering (general)

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