Downloads provided by UsageCountsBilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Copyright policy ) Xiao, Tim;
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.
- University of Toronto Canada
- Ludwig-Maximilians-Universität München Germany
bepress|Social and Behavioral Sciences|Economics, Economics, credit valuation adjustment, C52 - Model Evaluation, Black model, Futures Pricing, Trading Volume, bepress|Business, and Design, C52, Validation, G13 - Contingent Pricing, reduced-form model, credit asymmetry, market models, G12, swap spread, and Selection, bilateral defaultable derivatives, credit asymmetry, market models, Black model, LIBOR market model, reduced-form model, credit valuation adjustment, swap spread., G12 - Asset Pricing, Bond Interest Rates, ddc:330, G13, SocArXiv|Social and Behavioral Sciences|Economics, Simulation Modeling, D46 - Value Theory, bepress|Social and Behavioral Sciences|Economics|Finance, LIBOR market model, bilateral defaultable derivatives, SocArXiv|Social and Behavioral Sciences|Economics|Finance, bepress|Business|Finance and Financial Management, C63, C63 - Computational Techniques, bepress|Social and Behavioral Sciences, Arabixiv|Business|Finance and Financial Management, D46, SocArXiv|Social and Behavioral Sciences, Arabixiv|Business, D4 - Market Structure, Pricing
bepress|Social and Behavioral Sciences|Economics, Economics, credit valuation adjustment, C52 - Model Evaluation, Black model, Futures Pricing, Trading Volume, bepress|Business, and Design, C52, Validation, G13 - Contingent Pricing, reduced-form model, credit asymmetry, market models, G12, swap spread, and Selection, bilateral defaultable derivatives, credit asymmetry, market models, Black model, LIBOR market model, reduced-form model, credit valuation adjustment, swap spread., G12 - Asset Pricing, Bond Interest Rates, ddc:330, G13, SocArXiv|Social and Behavioral Sciences|Economics, Simulation Modeling, D46 - Value Theory, bepress|Social and Behavioral Sciences|Economics|Finance, LIBOR market model, bilateral defaultable derivatives, SocArXiv|Social and Behavioral Sciences|Economics|Finance, bepress|Business|Finance and Financial Management, C63, C63 - Computational Techniques, bepress|Social and Behavioral Sciences, Arabixiv|Business|Finance and Financial Management, D46, SocArXiv|Social and Behavioral Sciences, Arabixiv|Business, D4 - Market Structure, Pricing
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This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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