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• The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  valuation model; credit risk modeling; collateralization; correlation, CDS.

  Search term matches:

  Tag

  ... cds. ...

  Full Text

  ... Xiao ABSTRACT This article presents a new model for valuing a credit default swap (CDS ...

  
  

• Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  asset pricing, credit risk modeling, colateral, risk management, CDS

  Search term matches:

  Tag

  ... cds ...

  Full Text

  ... to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS ...

  
  

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