ダウンロード数: 2648
タイトル: | Credit Default Swap Valuation with Counterparty Risk |
著者: | Leung, Seng Yuen Kwok, Yue Kuen |
キーワード: | Counterparty risk contagious defaults intensity model credit default swap |
発行日: | 2005 |
出版者: | Graduate School of Economics, Kyoto University |
引用: | Seng Yuen Leung and Yue Kuen Kwok; “Credit Default Swap Valuation with Counterparty Risk”, The Kyoto Economic Review, Vol. 74, pp.25-45 (2005) . |
誌名: | The Kyoto Economic Review |
巻: | 74 |
号: | 1 |
開始ページ: | 25 |
終了ページ: | 45 |
抄録: | Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases when the default of another party occurs. We explore how settlement risk and replacement cost affect the swap rate in credit default swaps. |
DOI: | 10.11179/ker.74.25 |
URI: | http://hdl.handle.net/2433/24838 |
出現コレクション: | Vol.74 No.1 |
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