Arbeitspapier
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
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.
- Language
-
Englisch
- Classification
-
Wirtschaft
- Subject
-
valuation model
credit risk modeling
collateralization
correlation
CDS
- Event
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Geistige Schöpfung
- (who)
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Xiao, Tim
- Event
-
Veröffentlichung
- (who)
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ZBW – Leibniz Information Centre for Economics
- (where)
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Kiel, Hamburg
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Xiao, Tim
- ZBW – Leibniz Information Centre for Economics
Time of origin
- 2018
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