Default Process Modeling and Credit Valuation Adjustment

David Xiao

Papers from arXiv.org

Abstract: This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default, default probability, survival probability, and default correlation together. We show that risky valuation is Martingale in our model. The framework reduces the technical issues of performing risky valuation to the same issues faced when performing the ordinary valuation. The numerical results show that the model prediction is consistent with the historical observations.

Date: 2023-09
New Economics Papers: this item is included in nep-ban, nep-ger and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2309.03311 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2309.03311

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().