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Collateralized CDS and Default Dependence - Implications for the Central Clearing · Study

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PreprintCollateralized CDS and Default Dependence - Implications for the Central Clearing

Masaaki Fujii2011

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Preprintgreen2011

Collateralized CDS and Default Dependence - Implications for the Central Clearing

Masaaki Fujii · Akihiko Takahashi

21 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1996Swap Rates and Credit Quality 2002Copula-Dependent Defaults in Intensity Models 2004A General Formula for Valuing Defaultable Securities 2007The Impact of Collateralization on Swap Rates 2009A Note on Construction of Multiple Swap Curves with and without Collateral 2011A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies 2000A Libor Market Model with Default Risk 2001A Libor Market Model with Default Risk

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2013Pricing and Mitigation of Counterparty Credit Exposures 2014Counterparty risk for CDS: Default clustering effects

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Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1806870

openalex_workW2137390487

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