Research Paper (undergraduate) from the year 2018 in the subject Business economics – Investment and Finance, grade: 10, , language: English, abstract: This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market.
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भाषा अंग्रेज़ी ● स्वरूप PDF ● पेज 31 ● ISBN 9783668668478 ● फाइल का आकार 0.7 MB ● प्रकाशक GRIN Verlag ● शहर München ● देश DE ● प्रकाशित 2018 ● संस्करण 1 ● डाउनलोड करने योग्य 24 महीने ● मुद्रा EUR ● आईडी 5811238 ● कॉपी सुरक्षा के बिना
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