While the proportional hazard model is recognized to be statistically meaningful for
analyzing and estimating financial event risks, the existing literature that analytically deals …

In this work, we present some numerical procedures for a wrong way risk model that can be
used for credit value adjustment (CVA) calculations. We look at a model that uses a multi …

In this paper, we introduce the stochastic correlation processes for modeling the credit
spread. We first model the components of spread process as correlated Ornstein-Uhlenbeck …

In this thesis we propose a fractional version of two well-know structural models to credit risk
pricing: the Merton and Black and Cox models. A brief review of the Credit Risk models …

In this paper, we have developed a pricing model for credit spread options with the
existence of the counterparty default risk. The default dependence is modeled in the …

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This paper presents a method of pricing credit spread option on the basis of multiple factors
affine term structure model of interest rates with Kalman filter and Monte Carlo simulation. In …

現在の金融市場はデリバティブ取引の飛躍的な成長に伴い, 株式, 為替, 金利などのオプションや
クレジット・デフォルト・スワップ (credit default swap: 以下, CDS) の流動性が拡大すると共に …

This paper extends the dynamic copula model for bivariate option pricing in Goorbergh et al
(2004) to price credit spread options. We use GARCH-t model to describe the marginal …

This paper explores trading strategies to identify possible imbalances that may have been
existed in the credit markets, during the period 2001–2006, when pairing CDS and CMCDS …