scholarly journals Levy Subordinator Model of Default Dependency

2010 ◽  
Author(s):  
B.S. S. Balakrishna
Keyword(s):  
Default Dependency

scholarly journals The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Default Risk ◽  
Credit Default Swap ◽  
Counterparty Risk ◽  
New Model ◽  
Credit Risks ◽  
Credit Default ◽  
Default Swap ◽  
Default Dependency

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.

scholarly journals The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Default Risk ◽  
Credit Default Swap ◽  
Counterparty Risk ◽  
New Model ◽  
Credit Risks ◽  
Credit Default ◽  
Default Swap ◽  
Default Dependency

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.

scholarly journals The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Default Risk ◽  
Credit Default Swap ◽  
Counterparty Risk ◽  
New Model ◽  
Credit Risks ◽  
Credit Default ◽  
Default Swap ◽  
Default Dependency

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.

scholarly journals The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Default Risk ◽  
Credit Default Swap ◽  
Counterparty Risk ◽  
New Model ◽  
Credit Risks ◽  
Credit Default ◽  
Default Swap ◽  
Default Dependency

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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