【摘 要】
：
We mainly study the pricing formulas of corporate bond and credit default swap (CDS) in intensity-based models with interest rate risk and counterparty risk.We assume that the default intensity of fin
【机 构】
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Department Of Mathematics Jiao Tong University Shanghai 200240
【出 处】
：
The Third IMS-China International Conference on Statistics a
论文部分内容阅读
We mainly study the pricing formulas of corporate bond and credit default swap (CDS) in intensity-based models with interest rate risk and counterparty risk.We assume that the default intensity of finn depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms.Moreover, we make use of the hyperbolic function to illustrate the attenuation effect of correlated defaults between counterparties.
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