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The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
valuation model; credit risk modeling; collateralization; correlation
,
CDS.
Search term matches:
Tag
...
cds
. ...
Full Text
... Xiao ABSTRACT This article presents a new model for valuing a credit default swap (
CDS
...
Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
colateral
,
risk management
,
CDS
Search term matches:
Tag
...
cds
...
Full Text
... to credit risk and collateralization. Examples include the valuation of a credit default swap (
CDS
...
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