Pricing and trading credit default swaps in a hazard process model

By Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski. 2008

68 citations recorded by the source corpus.

In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/7b934585db8c4f0ae5009e5741a58855f92c6fcc

How researchers see this paper

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In Accounting

1. St'ephane Cr'epey

In Finance

1. St'ephane Cr'epey
2. Damiano Brigo

Citations in the corpus

• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2015, methodology): “See Remark 2.3 for the practical “violation of money conservation” issue.”