Counterparty risk valuation for CDS

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dc.creatorBlanchet-Scalliet, Christophette
dc.creatorPatras, Frédéric
dc.date2008-07-02
dc.date.accessioned2026-07-07T12:10:35Z
dc.date.available2026-07-07T12:10:35Z
dc.descriptionThe valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions. As an application, closed formulas for counterparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.
dc.identifierhttps://arxiv.org/abs/0807.0309
dc.identifierhttp://arxiv.org/abs/0807.0309
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209972
dc.subjectPricing of Securities
dc.subjectProbability
dc.titleCounterparty risk valuation for CDS
dc.typetext

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