Arora, Navneet; Gandhi, Priyank; Longstaff, Francis A. - In: Journal of Financial Economics 103 (2012) 2, pp. 280-293
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...