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- W4251393999 abstract "This chapter deals with the problem of pricing multi-currency derivative products depending on (stochastic) FX rates in a context where credit risk is considered to impact on the pricing. It looks to derive a pricing kernel for a joint credit-FX-hybrid model with interest rates (domestic and foreign) assumed deterministic. The chapter focuses on pricing analytically quanto credit default swap (CDS) where in particular the protection is on debt denominated in a currency other than that with reference to which the default curve has been calibrated. It considers next a contingent CDS wherein the buyer pays a regular coupon, either in foreign or domestic currency, and receives protection on the loss at default of a named credit issuer on a cross-currency receiver swap." @default.
- W4251393999 created "2022-05-12" @default.
- W4251393999 date "2020-12-15" @default.
- W4251393999 modified "2023-10-18" @default.
- W4251393999 title "Credit‐FX Hybrid Modelling" @default.
- W4251393999 doi "https://doi.org/10.1002/9781119610168.ch10" @default.
- W4251393999 hasPublicationYear "2020" @default.
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