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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

Über Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

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.

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  • Sprache:
  • Englisch
  • ISBN:
  • 9783668668485
  • Einband:
  • Taschenbuch
  • Seitenzahl:
  • 32
  • Veröffentlicht:
  • 27. März 2018
  • Ausgabe:
  • 18001
  • Abmessungen:
  • 148x3x210 mm.
  • Gewicht:
  • 62 g.
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Beschreibung von Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

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.

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