Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
نویسندگان
چکیده
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...
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In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We essentially show how to use structural models with a calibration capability that is typical of the much more tractable credit-spread based intensity models. W...
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The valuation of counterparty risk for single name credit derivatives requires the computation of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distributions. As an application, closed formulas for coun-terparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.
متن کاملCredit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model ∗
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to calibrate this model using a chosen number of reference Credit Default Swap (CDS) market quotes. In general this model can be seen as a possible extension of t...
متن کاملA Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
In this document we show how to handle counterparty risk for Interest Rate Swaps (IRS). First we establish a general formula, showing that counterparty risk adds one level of optionality to the contract. Then we introduce the default probabilities using a deterministic intensity model where the default time is modeled as the first jump of a time-inhomogeneous Poisson process. We consider Credit...
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ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2014
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2014/412890