Arbeitspapier
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.
- Sprache
-
Englisch
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Computational Techniques; Simulation Modeling
Value Theory
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
bilateral defaultable derivatives
credit asymmetry
market models
Black model
LIBOR market model
reduced-form model
credit valuation adjustment
swap spread
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Xiao, Tim
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW – Leibniz Information Centre for Economics
- (wo)
-
Kiel, Hamburg
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Xiao, Tim
- ZBW – Leibniz Information Centre for Economics
Entstanden
- 2018
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