【摘 要】
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In this paper, a general decreasing function is introduced to reflect the attenuation speed of the impact of one firms default on its partner.In this model,
【机 构】
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epartment of Mathematics, Shanghai JiaoTong University
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
In this paper, a general decreasing function is introduced to reflect the attenuation speed of the impact of one firms default on its partner.In this model, if two firms are competitors (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults.As time goes on, the impact will decrease gradually until it fades away.The general joint distribution and marginal distributions of default times are derived by employing the change of measure, so can we value the price of the risky bond and the fair swap premium of a CDS in the continuous and discrete contexts respectively.We demonstrate that if there is no settlement period in a CDS in the continuous version, then the fair swap premium is the ?rm-speci?c default rate of the protection seller, no matter whether there is counter party risk or not.
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