Credit Default Swap Valuation with Counterparty Risk
By Seng Yuen Leung, Yue Kuen Kwok. 2005
130 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2bc7c2a5733f171831f329b2df945be096e06625
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- St'ephane Cr'epey
- Damiano Brigo
- Andrea Pallavicini
- D. Hunter
- Monique Jeanblanc
- Agostino Capponi
- Tomasz R. Bielecki
- Daniel Sevcovic
In Finance
- Damiano Brigo
- Andrea Pallavicini
- St'ephane Cr'epey
- Agostino Capponi
- D. Hunter
- Monique Jeanblanc
- Tomasz R. Bielecki
- Huyen Pham
Citations in the corpus
- Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008, background): “terparty risk, moreover ignoring the eect of volatility on the adjustment and mainly focusing on default correlation. The few earlier works on CDS with counterparty risk include Leung and Kwok (2005)[24] who, building on Collin-Dufresne et al. (2002) [16], model default intensities as deterministic ”
- Credit value adjustment for credit default swaps via the structural default model (2009, methodology): “The approaches proposed by Leung and Kwok (2005), Pykhtin and Zhu (2006) and Gregory (2009), among others, do not account for spread volatility and, as a result, may underestimate CVA.”
- Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation (2009, background): “Ignoring correlation among underlying and counterparty can be dangerous, especially when the underlying instrument is a CDS.”
- Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010, background): “To quote but a few: ∙ Huge and Lando [15] propose a rating-based approach, ∙ Hull and White [16] study this problem in the set-up of a static copula model, ∙ Jarrow and Yu [17] use an intensity contagion model, further considered in Leung and Kwok [19], ∙ Brigo and Chourdakis [7] work in the set-up ”
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014, background): “Leung and Kwok (2005) build on Collin-Dufresne, Goldstein, and Hugonnier (2004), and model default intensities as deterministic constants with default indicators of other names as feeds.”