Pricing Counterparty Credit Risk

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 14 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 215-229 from Springer

Abstract: Abstract We have analysed in the previous chapters the most straightforward ways of mitigating the risk of default of a counterparty, namely by imposing limits on transacted notional amounts and by negotiating collateral agreements with the counterparty. A more flexible alternative is to buy protection or insurance on the given counterparty, typically in the form of a Credit Default Swap (CDS). In practice, however, risk mitigation via CDSs is not always straightforward.

Keywords: Credit Default Swap; Credit Spread; Hedging Strategy; Credit Default Swap Spread; Price Distribution (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_14

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DOI: 10.1007/978-3-642-04454-0_14

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