- Išparduota
/https://libri-media.knygos-static.lt/60fd3eef-6dc0-496e-b22f-e78b1d2549a8/3)
- Autorius: Alan White
- Leidėjas: GRIN Verlag
- Metai: 2018
- Puslapiai: 25
- ISBN: 9783668668478
- ISBN-10: 3668668477
- ISBN-13: 9783668668478
- Formatas: PDF
- Kalba: Anglų
Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization (el. knyga) (skaityta knyga) | knygos.lt
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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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- Autorius: Alan White
- Leidėjas: GRIN Verlag
- Metai: 2018
- Puslapiai: 25
- ISBN: 9783668668478
- ISBN-10: 3668668477
- ISBN-13: 9783668668478
- Formatas: PDF
- Kalba: Anglų
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.
Atsiliepimai