A Libor Market Model with Default Risk

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Subfields: Finance

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Pricing Default Swaps: Empirical Evidence (2003, background): “We assume that a constant 2 recovery fraction δ of the notional (and not of the remaining coupons too, see Jarrow and Turnbull (2000) and Schönbucher (2000)) is paid at the random default time τ .”
Credit Default Swap Valuation with Counterparty Risk (2005, unknown): “To magnify the effect of counterparty risk on the replacement cost, assuming all other factors being fixed, the expected replacement cost 3) is given by 3) Another possible way to compute the present value of replacement cost is to use the LIBOR risky measure introduced by Schönbucher (2000).”
Interest Rates and The Credit Crunch: New Formulas and Market Models (2009, unknown): “Matching instantaneous quadratic variations as in (24) and freezing stochastic quantities at their time-zero value, we can finally obtain another, more accurate, approximation for the implied swaption volatility in the lognormal LMM, which we here omit for brevity.”
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2008, unknown): “Schönbucher (2000) introduces the notion of survival pricing measures by conditioning on no-default up to a given maturity, although in contrast with the interest rate models this measure is not equivalent to the risk neutral one.”