| Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization Contributor(s): White, Alan (Author) |
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ISBN: 3668668485 ISBN-13: 9783668668485 Publisher: Grin Verlag OUR PRICE: $37.53 Product Type: Paperback Published: March 2018 |
| Additional Information |
| BISAC Categories: - Business & Economics | Marketing - Research |
| Physical Information: 0.08" H x 5.83" W x 8.27" (0.12 lbs) 32 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |