中文摘要：

To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discr...

英文摘要：

To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm s default intensity to reflect the attenuation behavior of the impact of its counterparty firm s default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discr...