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J. Liang and T. Wang, “Valuation of Loan-Only Credit Default Swap with Negatively Correlated Default and Prepayment Intensities,” International Journal of Computer Mathematics, in Press.

has been cited by the following article:

• TITLE: Pricing for Basket CDS and LCDS

  AUTHORS: Tao Wang, Jin Liang, Xiaoli Yang

  KEYWORDS: Basket Loan-Only Credit Default Swap; Prepayment Risk; Bottom Up; Reduced Form; One Factor ICIR Model

  JOURNAL NAME: Modern Economy, Vol.3 No.2, March 28, 2012

  ABSTRACT: In this paper, under the reduced form framework and “Bottom Up” method, a model for pricing a basket Loan-only Credit Default Swap (LCDS), with the negative correlation between prepayment and default, is established. A general pricing formula for it is obtained, where one factor CIR (Cox-Ingersoll-Ross) and ICIR (Inversed CIR) models are used to describe the negative correlation between prepayment and default. In this situation, the positivity of prepayment and default intensity processes are guaranteed. Numerical computations are presented.