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Studies from Soochow University Yield New Information about Economic Modelling (Bilateral counterparty risk valuation for credit default swap in a...

August 1, 2014



Studies from Soochow University Yield New Information about Economic Modelling (Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain)

By a News Reporter-Staff News Editor at Economics Week -- Current study results on Economic Modelling have been published. According to news reporting out of Suzhou, People's Republic of China, by VerticalNews editors, research stated, "The computation of the bilateral counterparty valuation adjustment for a credit default swap (CDS) contract is in effect the modeling of the default dependence among the investor, the protection seller, and the reference entity."

Our news journalists obtained a quote from the research from Soochow University, "We present a contagion model, where defaults of three parties are all driven by a common continuous-time Markov chain describing the macroeconomic conditions."

According to the news editors, the research concluded: "We give the explicit formula for the bilateral credit valuation adjustment (CVA) of CDS and examine the effect of the regime switching on the CVA."

For more information on this research see: Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain. Economic Modelling, 2014;40():91-100. Economic Modelling can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands. (Elsevier - www.elsevier.com; Economic Modelling - www.elsevier.com/wps/product/cws_home/30411)

Our news journalists report that additional information may be obtained by contacting Y.H. Dong, Soochow Univ, Center Financial Engn, Suzhou 215006, People's Republic of China.

Keywords for this news article include: Suzhou, People's Republic of China, Asia, Economic Modelling

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Economics Week


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