COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

DOI10.1142/S0219024909005567zbMath1187.91206arXiv1204.2090OpenAlexW3124950891MaRDI QIDQ3655554

Publication date: 8 January 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2090

zbMATH Keywords

copula functions default correlation counterparty risk credit default swaps credit valuation adjustment stochastic intensity wrong way risk credit spread volatility contingent credit default swaps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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