Frey, Rüdiger, Rösler, Lars. 2014. Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps. International Journal of Theoretical and Applied Finance 17 (7),
BibTeX
Abstract
The paper is concerned with counterparty credit risk 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 Bilateral Collateralized Credit Value Adjustment (BCCVA) of Brigo et al. (2014) and on the performance of various collateralization strategies. We use the incomplete-information model of Frey & Schmidt (2012) for our analysis. We find that contagion effects have a substantial impact on the effectiveness of popular collateralization strategies. We go on and derive improved collateralization strategies that account for contagion. Theoretical results are complemented by a simulation study.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | International Journal of Theoretical and Applied Finance |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, STRAT-B, VW-D, WH-B |
Language | English |
Title | Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps |
Volume | 17 |
Number | 7 |
Year | 2014 |
Reviewed? | Y |
URL | http://dx.doi.org/10.1142/S0219024914500447 |
DOI | http://dx.doi.org/10.1142/S0219024914500447 |
Associations
- People
- Frey, Rüdiger (Details)
- Rösler, Lars (Former researcher)
- Organization
- Institute for Statistics and Mathematics IN (Details)