英文标题：
《Pricing Credit Default Swap Subject to Counterparty Risk and
Collateralization》
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作者：
Alan White
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最新提交年份：
2018
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英文摘要：
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market.
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中文摘要：
本文提出了一种新的信用违约掉期（CDS）合同定价模型，该模型受到买方、卖方和参考实体多重信用风险的影响。我们发现，违约依赖性对资产定价有显著影响。事实上，相关违约风险是金融市场中最普遍的威胁之一。我们还表明，完全抵押的CDS并不等同于无风险的CDS。换言之，在CDS市场上，完全抵押并不能完全消除交易对手风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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