Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization b

Description: Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization by Alan White 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. FORMAT Paperback LANGUAGE English CONDITION Brand New Long 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. Details ISBN3668668485 Author Alan White Pages 32 Publisher Grin Verlag Year 2018 ISBN-10 3668668485 ISBN-13 9783668668485 Format Paperback Publication Date 2018-03-27 Imprint Grin Verlag Illustrations Illustrations, black and white Affiliation Leeds Metropolitan University UK Language English Audience General/Trade We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:159790253;

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