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Basket Credit Derivative Pricing in a Markov Chain Model with Interacting Intensities
Mathematical Problems in Engineering ( IF 1.009 ) Pub Date : 2020-10-17 , DOI: 10.1155/2020/5369879
Kangquan Zhi; Jie Guo; Xiaosong Qian

In this paper, we propose a Markov chain model to price basket credit default swap (BCDS) and basket credit-linked note (BCLN) with counterparty and contagion risks. Suppose that the default intensity processes of reference entities and the counterparty are driven by a common external shock as well as defaults of other names in the contracts. The stochastic intensity of the external shock is a Cox process with jumps. We derive recursive formulas for the joint distribution of default times and obtain closed-form premium rates for BCDS and BCLN. Numerical experiments are performed to show how the correlated default risks may affect the premium rates.
更新日期:2020-10-17

 

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