Abstract
In this chapter we propose a credit risk model for the valuation of derivative securities with counterparty default risk. Derivative securities that are subject to counterparty default risk are sometimes called vulnerable derivative securities. The credit risk model we propose is based on the stochastic evolution of the value of the firm’s assets and liabilities.
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© 2001 Springer-Verlag Berlin Heidelberg
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Ammann, M. (2001). A Firm Value Pricing Model for Derivatives with Counterparty Default Risk. In: Credit Risk Valuation. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06425-2_4
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DOI: https://doi.org/10.1007/978-3-662-06425-2_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-08733-2
Online ISBN: 978-3-662-06425-2
eBook Packages: Springer Book Archive