derivatives no longer seems to bean appropriate alternative. However, correct valuation of these derivatives is still challenging ….The crisis has demonstrated that the issue is less about using credit derivatives than aboutdeveloping valid valuation techniques … key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … ; structural models ; intensity-based models ; reduced-form models ; credit derivatives ; credit default swap ; pricing ; valuation … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised …

derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …

The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are …

risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing …

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of …