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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

Alan White

21,57 €
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Editorial:
GRIN Verlag
Año de edición:
2018
Materia
Empresa y gestión
ISBN:
9783668668485

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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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