Counterparty risk valuation for CDS.

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-00292620
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Submitted on : Wednesday, July 2, 2008 - 10:41:00 AM
Last modification on : Wednesday, February 6, 2019 - 1:54:05 PM
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  • HAL Id : hal-00292620, version 1
  • ARXIV : 0807.0309

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Christophette Blanchet-Scalliet, Frédéric Patras. Counterparty risk valuation for CDS.. 2008. ⟨hal-00292620⟩

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