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- Publisher Website: 10.1007/s11009-013-9323-1
- Scopus: eid_2-s2.0-84905222145
- WOS: WOS:000339942500008
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Article: Bilateral Counterparty Risk Valuation On A Cds With A Common Shock Model
Title | Bilateral Counterparty Risk Valuation On A Cds With A Common Shock Model |
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Authors | |
Keywords | CDS Counterparty credit risk Cox process Credit valuation adjustment Regime switching |
Issue Date | 2013 |
Citation | Methodology and Computing in Applied Probability, 2013 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/186286 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.430 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Dong, Y | en_US |
dc.contributor.author | Wang, G | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.date.accessioned | 2013-08-20T12:02:45Z | - |
dc.date.available | 2013-08-20T12:02:45Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Methodology and Computing in Applied Probability, 2013 | en_US |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.uri | http://hdl.handle.net/10722/186286 | - |
dc.language | eng | en_US |
dc.relation.ispartof | Methodology and Computing in Applied Probability | en_US |
dc.subject | CDS | - |
dc.subject | Counterparty credit risk | - |
dc.subject | Cox process | - |
dc.subject | Credit valuation adjustment | - |
dc.subject | Regime switching | - |
dc.title | Bilateral Counterparty Risk Valuation On A Cds With A Common Shock Model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.identifier.doi | 10.1007/s11009-013-9323-1 | - |
dc.identifier.scopus | eid_2-s2.0-84905222145 | - |
dc.identifier.hkuros | 220299 | en_US |
dc.identifier.eissn | 1573-7713 | - |
dc.identifier.isi | WOS:000339942500008 | - |
dc.publisher.place | Springer | en_US |
dc.identifier.issnl | 1387-5841 | - |