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- Publisher Website: 10.1007/s11464-017-0656-x
- Scopus: eid_2-s2.0-85028815999
- WOS: WOS:000410866200004
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Article: Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Title | Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities |
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Authors | |
Keywords | bilateral credit valuation adjustment common shock Credit default swap (CDS) Markov chain regime-switching shot noise process |
Issue Date | 2017 |
Publisher | Higher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464 |
Citation | Frontiers of Mathematics in China, 2017, v. 12 n. 5, p. 1085-1112 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/248576 |
ISSN | 2021 Impact Factor: 0.871 2020 SCImago Journal Rankings: 0.482 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Dong, Y | - |
dc.contributor.author | Yuen, KC | - |
dc.contributor.author | Wang, G | - |
dc.date.accessioned | 2017-10-18T08:45:19Z | - |
dc.date.available | 2017-10-18T08:45:19Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Frontiers of Mathematics in China, 2017, v. 12 n. 5, p. 1085-1112 | - |
dc.identifier.issn | 1673-3452 | - |
dc.identifier.uri | http://hdl.handle.net/10722/248576 | - |
dc.language | eng | - |
dc.publisher | Higher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464 | - |
dc.relation.ispartof | Frontiers of Mathematics in China | - |
dc.rights | The final publication is available at Springer via http://dx.doi.org/[insert DOI] | - |
dc.subject | bilateral credit valuation adjustment | - |
dc.subject | common shock | - |
dc.subject | Credit default swap (CDS) | - |
dc.subject | Markov chain | - |
dc.subject | regime-switching shot noise process | - |
dc.title | Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.identifier.doi | 10.1007/s11464-017-0656-x | - |
dc.identifier.scopus | eid_2-s2.0-85028815999 | - |
dc.identifier.hkuros | 282108 | - |
dc.identifier.volume | 12 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 1085 | - |
dc.identifier.epage | 1112 | - |
dc.identifier.isi | WOS:000410866200004 | - |
dc.publisher.place | China | - |
dc.identifier.issnl | 1673-3452 | - |