{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,7,30]],"date-time":"2025-07-30T13:50:11Z","timestamp":1753883411895,"version":"3.41.2"},"reference-count":31,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,8,29]],"date-time":"2011-08-29T00:00:00Z","timestamp":1314576000000},"content-version":"vor","delay-in-days":240,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"DOI":"10.13039\/501100012166","name":"National Basic Research Program of China","doi-asserted-by":"crossref","id":[{"id":"10.13039\/501100012166","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2011,1]]},"abstract":"<jats:p>We study a three\u2010firm contagion model with counterparty risk and apply this model\nto price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the \u201ctotal hazard\u201d approach, default times can be generated and the joint density function is obtained. We represent the pricing method of defaultable bonds and obtain the closed\u2010form pricing formulas. By the approach of \u201cchange of measure,\u201d analytical solutions of CDS\nswap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively.<\/jats:p>","DOI":"10.1155\/2011\/158020","type":"journal-article","created":{"date-parts":[[2011,8,29]],"date-time":"2011-08-29T19:21:15Z","timestamp":1314645675000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities"],"prefix":"10.1155","volume":"2011","author":[{"given":"Anjiao","family":"Wang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Zhongxing","family":"Ye","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2011,8,29]]},"reference":[{"key":"e_1_2_7_1_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1974.tb03058.x"},{"key":"e_1_2_7_2_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1976.tb01891.x"},{"key":"e_1_2_7_3_2","doi-asserted-by":"publisher","DOI":"10.2307\/2330330"},{"key":"e_1_2_7_4_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1995.tb00064.x"},{"key":"e_1_2_7_5_2","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1035463324"},{"key":"e_1_2_7_6_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"key":"e_1_2_7_7_2","doi-asserted-by":"publisher","DOI":"10.1007\/BF01531333"},{"key":"e_1_2_7_8_2","doi-asserted-by":"publisher","DOI":"10.1111\/1468\u20100262.00208"},{"key":"e_1_2_7_9_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.2.481"},{"key":"e_1_2_7_10_2","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.1991.409331"},{"key":"e_1_2_7_11_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.687"},{"key":"e_1_2_7_12_2","doi-asserted-by":"publisher","DOI":"10.1007\/BF01531332"},{"key":"e_1_2_7_13_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00357"},{"key":"e_1_2_7_14_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.1.197"},{"key":"e_1_2_7_15_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00389"},{"key":"e_1_2_7_16_2","doi-asserted-by":"publisher","DOI":"10.1111\/1467\u20109965.00088"},{"volume-title":"Valuation of Credit Default Swaps and Swaptions Preprint","year":"2003","author":"Jamshidian F.","key":"e_1_2_7_17_2"},{"key":"e_1_2_7_18_2","first-page":"25","article-title":"Credit default swap valuation with counterparty risk","volume":"74","author":"Leung S. 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