CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2012, 28(6) 655-664 DOI:      ISSN: 1001-4268 CN: 31-1256

Current Issue | Archive | Search                                                            [Print]   [Close]
article
Information and Service
This Article
Supporting info
PDF(238KB)
[HTML]
Reference
Service and feedback
Email this article to a colleague
Add to Bookshelf
Add to Citation Manager
Cite This Article
Email Alert
Keywords
Authors
PubMed

A Reduced Model with Thinning-Dependence Structure

Liang Xue,Wang Guojing

Center for Financial Engineering of Soochow University, Department of Mathematics, Suzhou University of Science and Technology

Abstract��

The class of reduced form models is
a very important class of credit risk models, and the modelling of
the default dependence structure is essential in the reduced form
models. This paper models dependent defaults under a
thinning-dependent structure in the reduced form framework. In our
tractable model, the joint survival probability for correlated
defaults can be derived, and hence the CDS premium rates (with or
without counterparty risk) are given in closed form. The numerical
result shows that the thinning-dependent structure is effective to
model the default dependence.

Keywords��
Received  Revised  Online:  
DOI:
Fund:
Corresponding Authors: Liang Xue
Email:
About author:

References��
Similar articles

Copyright by CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST