Economics, Econometrics and Finance
4 years ago

Collateralized Credit Default Swaps Not Risk-Free, Counterparty Risk Persists.

SSRN Electronic Journal
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Tim Xiao

Paper Summary

Related papers

Economics, Econometrics and Finance
4 years ago

Top-down hedging beats dynamic models in managing credit risk crisis

Credit Risk
Option Pricing
Robust Optimization
2 views
Economics, Econometrics and Finance
8 years ago

Unhedgeable Risks in CDO Tranches Exposed During Credit Crisis.

Credit Risk
Macroeconomic Analysis
Option Pricing
2 views
Economics, Econometrics and Finance
8 years ago

New Financial Products Transforming Credit Risk Management in Markets Today!

Credit Risk
2 views

A new model for valuing credit default swap contracts shows that when the buyer, seller, and reference entity are all at risk of default, it affects the pricing of the contract. The risk of default is interconnected and can have a big impact on financial markets. Even if a credit default swap is fully collateralized, it doesn't completely eliminate the risk of the other party defaulting.