Post by Sapphire Capital on Jul 6, 2012 10:10:02 GMT 4
A multi-dimensional extension of the structural default model with
rms' values driven by di usion processes with Marshall-Olkin-inspired
correlation structure is presented. Semi-analytical methods for solving
the forward calibration problem and backward pricing problem in three
dimensions are developed. The model is used to analyze bilateral counter-party risk for credit default swaps and evaluate the corresponding credit and debt value adjustments.
see: arxiv.org/pdf/1206.3104.pdf
rms' values driven by di usion processes with Marshall-Olkin-inspired
correlation structure is presented. Semi-analytical methods for solving
the forward calibration problem and backward pricing problem in three
dimensions are developed. The model is used to analyze bilateral counter-party risk for credit default swaps and evaluate the corresponding credit and debt value adjustments.
see: arxiv.org/pdf/1206.3104.pdf