The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk

被引：5

作者：

Hao, Ruili ^{[1
]}

Ye, Zhongxing ^{[1
]}

机构：

[1] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2011年 / 2011卷

关键词：

DEFAULT;

D O I：

10.1155/2011/412565

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques in Park (2008) to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are extensions of the models in Jarrow and Yu (2001).

引用

页数：16

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