Showing 1 - 8 of 8
In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing the credit exposure. Detailed numerical...
Persistent link: https://www.econbiz.de/10012985988
Persistent link: https://www.econbiz.de/10010341525
Persistent link: https://www.econbiz.de/10010341540
Persistent link: https://www.econbiz.de/10011514029
Persistent link: https://www.econbiz.de/10011904636
We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact...
Persistent link: https://www.econbiz.de/10013064607
This paper quantifies the premium demanded by the investors for bearing the corporate default risk. We propose a novel approach that exploits the information in both credit default swap (CDS) spreads and stock prices, using the pricing restrictions provided by a structural model of credit risk....
Persistent link: https://www.econbiz.de/10012856198
Persistent link: https://www.econbiz.de/10013455978