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Book synopsis

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.

Book details

• Full title: Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
• Author: Alan White
• Language: English
• Binding: Paperback
• Number of pages: 32
• EAN: 9783668668485
• ISBN: 3668668485
• ID: 19251472
• Publisher: Grin Publishing
• Weight: 60 g
• Dimensions: 210 × 148 × 2 mm
• Published: 2018

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