Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity

Kwai Leung and Yue Kwok ()

Asia-Pacific Financial Markets, 2009, vol. 16, issue 3, 169-181

Keywords: Credit default swaps; Counterparty risk; Markov chain model; Default correlation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10690-009-9091-7

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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