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Beschreibung
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.
Details
| Verlag | GRIN Verlag |
| Ersterscheinung | März 2018 |
| Maße | 21 cm x 14.8 cm x 0.3 cm |
| Gewicht | 62 Gramm |
| Format | Softcover |
| ISBN-13 | 9783668668485 |
| Auflage | 1. Auflage |
| Seiten | 32 |
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