Title: Pricing of first-to-default swap contract with considering counterparty default risk
Abstract: The pricing problem of first-to-default swap contract with counterparty default risk is considered by applying synthesized stochastic analysis theory and reduced method.A hyperbolic attenuation function is introduced to reflect the default correlation between two assets in a asset pool.Based on the total hazard rate construction method,the pricing mathematical models of first-to-default swap contract with considering counterparty default risk is described,moreover,the corresponding pricing formula is given and risk analysis is considered.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
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