  This paper studies the optimal timing to liquidate credit derivatives in a
general intensity-based credit risk model under stochastic interest rate. We
incorporate the potential price discrepancy between the market and investors,
which is characterized by risk-neutral valuation under different default risk
premia specifications. We quantify the value of optimally timing to sell
through the concept of delayed liquidation premium, and analyze the associated
probabilistic representation and variational inequality. We illustrate the
optimal liquidation policy for both single-named and multi-named credit
derivatives. Our model is extended to study the sequential buying and selling
problem with and without short-sale constraint.
