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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - 2021
Persistent link: https://www.econbiz.de/10012614604
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - In: Review of finance : journal of the European Finance … 25 (2021) 6, pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
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Explaining aggregate credit default swap spreads
Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 22 (2012), pp. 18-29
Persistent link: https://www.econbiz.de/10010219703
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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
White, Alan - 2018
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit …
Persistent link: https://www.econbiz.de/10012924322
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Analysis of Lithuanian credit default swaps
Kregzde, Arvydas; Murauskas, Gediminas - In: Journal of business economics and management 16 (2015) 5, pp. 916-930
Persistent link: https://www.econbiz.de/10011386659
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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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Modeling CDS spreads : a comparison of some hybrid approaches
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Journal of empirical finance 57 (2020), pp. 107-124
Persistent link: https://www.econbiz.de/10012430444
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305