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Counterparty Risk and the Impact of Collateralization in CDS Contracts - MaRDI portal

Counterparty Risk and the Impact of Collateralization in CDS Contracts

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Publication:4925744

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zbMath1277.91163arXiv1104.2625MaRDI QIDQ4925744

Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler

Publication date: 12 June 2013

Full work available at URL: https://arxiv.org/abs/1104.2625

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

An overview of the valuation of collateralized derivative contracts

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