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Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

作     者:Yinghui DONG Kam Chuen YUEN Guojing WANG 

作者机构:Department of Mathematics and Physics Suzhou University of Science and TechnologySuzhou 215009 China Department of Statistics and Actuarial Science University of Hong Kong Hong KongChina Department of Mathematics and Center for Financial Engineering Soochow UniversitySuzhou 215006 China 

出 版 物:《Frontiers of Mathematics in China》 (中国高等学校学术文摘·数学(英文))

年 卷 期:2017年第12卷第5期

页      面:1085-1112页

核心收录:

学科分类:12[管理学] 083002[工学-环境工程] 1204[管理学-公共管理] 0830[工学-环境科学与工程(可授工学、理学、农学学位)] 120402[管理学-社会医学与卫生事业管理(可授管理学、医学学位)] 08[工学] 0837[工学-安全科学与工程] 0835[工学-软件工程] 0701[理学-数学] 081202[工学-计算机软件与理论] 0812[工学-计算机科学与技术(可授工学、理学学位)] 

基  金:The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province (Grant No. BK20170064) and QingLan project. The research of Kam Chuen Yuen was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region  China (Project No. HKU17329216)  and the CAE 2013 research grant from the Society of Actuaries-any opinions  finding  and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA. The research of Guojing Wang was supported by the National Natural Science Foundation of China (Grant No. 11371274) 

主  题:Credit default swap (CDS) bilateral credit valuation adjustment,Markov chain common shock regime-switching shot noise process 

摘      要:We study the counterparty risk for a credit default swap (CDS) in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes with regime-switching shot noise intensities containing common shock. Under the proposed model, the general bilateral counterparty risk pricing formula for CDS contracts with the possibility of joint defaults is presented. Based on some expressions for the conditional Laplace transform of the integrated intensity processes, semi-analytical solution for the bilateral credit valuation adjustment (CVA) is derived. When the model parameters satisfy some conditions, explicit formula for the bilateral CVA at time 0 is also given.

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