Counterparty risk valuation for CDS

Christophette Blanchet-Scalliet and Fr\'ed\'eric Patras
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Christophette Blanchet-Scalliet: ICJ
Fr\'ed\'eric Patras: JAD

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Abstract: The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions. As an application, closed formulas for counterparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.

Date: 2008-07
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Citations: View citations in EconPapers (16)

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