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White, R. (2014) The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model. Open Gamma Quantitative Research No. 16, 43.

has been cited by the following article:

• TITLE: Credit Derivative Valuation and Parameter Estimation for Multi-Factor Affine CIR-Type Hazard Rate Model

  AUTHORS: Alma P. Bimbabou Maboulou, Hopolang P. Mashele

  KEYWORDS: Credit Derivative, Credit Default Swap, Hazard Rate, Credit Spread, Default Able Bond, CIR Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.3, July 16, 2015

  ABSTRACT: The purpose of this paper is to derive or determine the Credit Derivative, especially, the Credit Default Swap which is under the hazard rate (or default intensity) distributed as a multi-factor of the Cox, Ingersoll and Ross (CIR, 1985) models. It is crucial to know how default should be modelled for the valuation of credit derivatives. We are motivated by the idea that CIR term structure model, for example, must be effective for modelling hazard rate, and has some significant properties: mean-reversion and affine. We use South Africa (SA) credit spread market data on Defaultable bonds to estimate parameters associated with the stochastic single-factor hazard rate type CIR.