Counterparty Risk and the Pricing of Defaultable Securities
扩展了现有简化模型，将违约强度与交易对手违约挂钩，分析交易对手风险对违约债券和信用违约互换等衍生品定价的影响。
ABSTRACT Motivated by recent financial crises in East Asia and the United States where the downfall of a small number of firms had an economy‐wide impact, this paper generalizes existing reduced‐form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure to common risk factors, but also to firm‐specific risks that are termed “counterparty risks.” Numerical examples illustrate the effect of counterparty risk on the pricing of defaultable bonds and credit derivatives such as default swaps.