Calibration of CIR processes to CVA data and applications to estimation of Market Price of Risk

Thomas Hvolby, Bent Jesper Christensen, Esben Høg

Research output: Contribution to book/anthology/report/conference proceedingBook chapterResearchpeer-review


We present a rigorous framework for CDS valuation and calibration to market quotes
on single-name CDSs and methods of calculating the market price of risk (MPR) on
such markets. We use the results of MPR for bond markets, and thus the MPR
corresponds to the survival probabilities, which is a non-tradable asset. Further, we
present a set-up for numerical valuation of triparty CDS agreements, where two
default risky parties trade a CDS with a third entity as reference credit.
Original languageEnglish
Title of host publicationEssays on Risk and Fair Pricing : PhD Thesis
Place of PublicationAalborg University
Publication date2018
ISBN (Electronic)978-87-7210-138-5
Publication statusPublished - 2018
SeriesPhD Series, Faculty of Engineering and Science, Aalborg University

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