Quotation 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),


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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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Publication's profile

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)
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