... Credit Default Swap Valua tion with Market Models,Risk, June issue.[3] Brigo, D., and Alfonsi, A. (200 5) Credit Default Swaps Calibration and Derivatives Pricing with the SSRD Stochastic Intensity ... this happens, then the residual NPV of the CDS on the reference credit “1”at the default time τ2of the counterparty is zero, since the reference credit always defaults before the counterparty ... Stochastic Intensity Model, Finance and Stochastic, Vol. 9, N. 1.[4] Brigo, D., and Cousot, L. (2006). A Comparison between the SSRD Model and the Market Model for CDS Options Pricing. International...