TENG, LONG; EHRHARDT, MATTHIAS; GÜNTHER, MICHAEL - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350040-1
We analyze the general risk-neutral valuation for counterparty risk embedded in a Credit Default Swap (CDS) contract by adapting the recent findings of Brigo and Capponi (2009) to allow for simultaneous defaults among the two parties and the underlying reference credit, while the counterparty...
