Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps
Autor: | Frey, Rüdiger, Rösler, Lars |
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Jazyk: | angličtina |
Rok vydání: | 2013 |
Předmět: | |
Druh dokumentu: | Paper |
Popis: | The paper is concerned with counterparty credit risk management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateralized Credit Value Adjustment) of Brigo et al. 2012 and on the performance of various collateralization strategies. We use the incomplete-information model of Frey and Schmidt (2012) as vehicle for our analysis. We find that taking contagion effects into account is important for the effectiveness of the strategy and we derive refined collateralization strategies to account for contagion effects. (authors' abstract) Series: Research Report Series / Department of Statistics and Mathematics |
Databáze: | Networked Digital Library of Theses & Dissertations |
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