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- W4316095752 abstract "Credit derivatives are an up to date innovation in financial markets. These financial instrument have a potential to allow enterprises to trade and manage the credit risks and market risks. The striking growth of credit derivatives suggest that participant of financial markets find them to be useful instrument for risk management. The most popular and fundamental credit derivatives is a credit default swaps (CDS). In the paper we detailed the risk management of the credit default swaps and quantified the credit risk of investors in two way: (i) calculate the term structure of default probabilities from the market prices of traded CDS and (ii) calculate prices of CDS from the probability distribution of the time-to-default  Keywords: credit risk; credit default swap; risk management" @default.
- W4316095752 created "2023-01-14" @default.
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- W4316095752 date "2017-03-22" @default.
- W4316095752 modified "2023-10-18" @default.
- W4316095752 title "Risk management of Credit Default Swap" @default.
- W4316095752 doi "https://doi.org/10.18844/prosoc.v3i4.1573" @default.
- W4316095752 hasPublicationYear "2017" @default.
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