Can I read Counterparty risk valuation for CDS on EtoBox?

Counterparty risk valuation for CDS by Blanchet-Scalliet, Christophette; Patras, Frédéric is a scholarly article available to read on EtoBox.

What is Counterparty risk valuation for CDS about?

The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions. As an application, closed formulas for counterparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.

Author

Blanchet-Scalliet, Christophette; Patras, Frédéric

Published

2008

Language

EN