Credit Derivatives in an Affine Framework |
| |
| Authors: | Li Chen Damir Filipović |
| |
| Affiliation: | (1) Interest Rate Derivatives Trading, Merrill Lynch, New York, NY, USA;(2) Vienna Institute of Finance, Nordbergstrasse 15, 1090 Vienna, Austria |
| |
| Abstract: | An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three firms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and default swap spreads in the presence of counterparty default risk. Vienna Institute of Finance is funded by WWTF (Vienna Science and Technology Fund). |
| |
| Keywords: | Affine intensity based models Counterparty risk Credit derivatives Default dependence |
| 本文献已被 SpringerLink 等数据库收录！ |
|
