Credit Derivatives Related to Rating Migrations

Jin Liang and Bei Hu
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

Chapter Chapter 9 in Credit Rating Migration Risks in Structure Models, 2024, pp 207-250 from Springer

Abstract: Abstract In this chapter, we consider three credit derivatives: CDS, CDS with multi counterparties and CCIRS with credit rating risks. Using different methods, such as reduced form model, structure model and structural type intensity model we can price them.

Date: 2024
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DOI: 10.1007/978-981-97-2179-5_9

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