A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS

Simple item page
dc.creatorBai, Yunfen
dc.creatorHu, Xinhua
dc.creatorYe, Zhongxing
dc.date2007-06-22
dc.date.accessioned2026-07-07T12:05:17Z
dc.date.available2026-07-07T12:05:17Z
dc.descriptionIn this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, so can we value the fair swap premium of a CDS.
dc.description8 pages
dc.identifierhttps://arxiv.org/abs/0706.3331
dc.identifierhttp://arxiv.org/abs/0706.3331
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208335
dc.subjectRisk Management
dc.subjectProbability
dc.subject62P05
dc.titleA Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
dc.typetext

Files

Collections

arXiv