Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps

Autor:	Frey, Rüdiger, Rösler, Lars
Jazyk:	angličtina
Rok vydání:	2013
Předmět:	RVK QK 660 QK 320 counterparty credit risk / bilateral credit value adjustment / contagion / credit default swap / incomplete information / collateralization / Kreditderivat / Ausfallrisiko / Risikomanagement / Kreditrisiko / Swap / Vertragspartei
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
Externí odkaz:	http://epub.wu.ac.at/3770/1/preprint_freyroesler.pdf Zobrazit plný text záznamu