摘要翻译：
本文引入一个几何函数来反映一个企业违约对其合作伙伴影响的衰减速度。如果两个企业是竞争（合作）者，当另一个企业违约时，其中一个企业的违约强度会突然降低（增加）。随着时间的推移，撞击会逐渐减少，直至灭绝。在该模型中，利用测度的变化导出了违约时间的联合分布和边际分布，从而可以对CDS的公平互换溢价进行估值。
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英文标题：
《A Model for Counterparty Risk with Geometric Attenuation Effect and the
  Valuation of CDS》
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作者：
Yunfen Bai (1 and 2), Xinhua Hu (1), Zhongxing Ye (1) ((1)Department
  of Mathematics, Shanghai Jiaotong University; (2)Department of Mathematics,
  Shijiazhuang College)
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  In this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, so can we value the fair swap premium of a CDS.
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PDF链接：
https://arxiv.org/pdf/0706.3331