منابع مشابه
Credit Default Swap Valuation with Counterparty Risk ∗
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases whe...
متن کاملCounterparty credit risk and the credit default swap market
Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same under...
متن کاملCredit default swap spreads and variance risk premia
0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at...
متن کاملValuation of Credit Default Swap and Swaptions
This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price and relative to a general numeraire. Survival probabilities and default recoveries are considered as processes adapted to a subfiltration, following Jeanblanc...
متن کاملTransparency in Credit Default Swap Markets
We provide an inventory of existing forms of transparency in CDS markets and discuss methods that may be used to increase transparency as well as their benefits and costs. In particular, we attempt to identify to whom such benefits and costs accrue (broker-dealers, end users, etc). We argue that increased market transparency has a cost, which must be weighed against its benefits in terms of mar...
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ژورنال
عنوان ژورنال: New Trends and Issues Proceedings on Humanities and Social Sciences
سال: 2017
ISSN: 2547-8818
DOI: 10.18844/gjhss.v3i4.1573