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COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Credit Contagion from Counterparty Risk
Standard credit risk models observed clustering of default credit contagion direct counterparty effects
2011/8/22
Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direc...
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...