Credit Default Swap Valuation with Counterparty Risk

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Leung, Seng Yuen; Kwok, Yue Kuen;
  • Publisher: Graduate School of Economics, Kyoto University
  • Journal: The Kyoto Economic Review, volume 74, issue 1, pages 25-45 (issn: 1349-6778)
  • Publisher copyright policies & self-archiving
  • Subject: Counterparty risk | contagious defaults | intensity model | credit default swap

Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit... View more
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