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- W3024867903 abstract "This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk 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." @default.
- W3024867903 created "2020-05-21" @default.
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- W3024867903 date "2019-01-01" @default.
- W3024867903 modified "2023-09-30" @default.
- W3024867903 title "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization" @default.
- W3024867903 doi "https://doi.org/10.2139/ssrn.3410640" @default.
- W3024867903 hasPublicationYear "2019" @default.
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