Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization (PDF)
(Sprache: Englisch)
Research Paper (undergraduate) from the year 2018 in the subject Business economics - Investment and Finance, grade: 10, , language: English, abstract: This article presents a new model for valuing a credit default swap (CDS) contract that is affected by...
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Research Paper (undergraduate) from the year 2018 in the subject Business economics - Investment and Finance, grade: 10, , language: English, abstract: This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market.
Bibliographische Angaben
- Autor: Alan White
- 2018, 25 Seiten, Englisch
- Verlag: GRIN Verlag
- ISBN-10: 3668668477
- ISBN-13: 9783668668478
- Erscheinungsdatum: 26.03.2018
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 0.66 MB
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Englisch
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