Narrow search
Showing 1 - 10 of 692,146
Cover Image
The Cost of Counterparty Risk and Collateralization in Longevity Swaps
Biffis, Enrico - 2014
show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking … providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by … collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and …
Persistent link: https://www.econbiz.de/10013068333
Cover Image
An equilibrium model for an OTC derivative market under a counterparty risk constraint
Takino, Kazuhiro - In: Journal of financial management, markets and institutions 6 (2018) 2, pp. 1850007-26
Persistent link: https://www.econbiz.de/10011960229
Cover Image
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
Cover Image
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
Cover Image
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Cover Image
Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
Cover Image
Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
Cover Image
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Xiao, Tim - 2019
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/10012864846
Cover Image
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Cover Image
Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357