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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

by Alan White
Save 14% Save 14%
Current price ₹2,258.00
Original price ₹2,637.00
Original price ₹2,637.00
Original price ₹2,637.00
(-14%)
₹2,258.00
Current price ₹2,258.00

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Book cover type: Paperback
  • ISBN13: 9783668668485
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 32
  • Original Price: USD 26.9
  • Language: English
  • Edition: N/A
  • Item Weight: 55 grams
  • BISAC Subject(s): Marketing / Research

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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