Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

By Damiano Brigo, Kyriakos Chourdakis. 2009

185 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c0daf7a16c0703bb69293c7c2633932023cb788c

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Citations in the corpus

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, background): “See again [30], [31], [16] and [21] for examples from several asset classes.”
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011, background): “Indeed, previous research on accurate arbitrage-free valuation of unilateral CVA with dynamical models on commodities [14], on rates [12] and on credit [13] assumed the party computing the valuation adjustment to be default-free.”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “We refer the reader to Part IV or to Brigo and Chourdakis (2008), Brigo and Capponi (2008a), Lipton and Sepp (2009a), Blanchet-Scalliet and Patras (2008) regarding possible approaches to appropriately deal with counterparty risk on credit derivatives (or strong wrong-way risk more generally).”
Optimal investment under multiple defaults risk: a BSDE-decomposition approach (2011, result): “ (θk,ιk,ℓk, ιk+1,ℓk+1) = −1 + ℓk+1/P i,k θ− k+1 (θk,ιk,ℓk), meaning that P i,k+1 θk+1 (θk+1,ιk+1, ℓk+1) = ℓk+1, when ιk+1 = i. This model is compatible with several ones in the literature (see, e.g., [2, 3]), and we shall focus in the last section on this example for numerical illustrations in the c”
Credit value adjustment for credit default swaps via the structural default model (2009, background): “…derives model-free upper and lower bounds for the counterparty exposure; Pykhtin and Zhu (2006) and Gregory (2009) use the Gaussian copula approach to study defaults of the reference name and the protection seller; Brigo and Chourdakis (2008) consider correlated dynamics of the credit spreads.”
Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008, methodology): “We then specialize our analysis to Credit Default Swaps (CDS) as underlying portfolio, generalizing the work of Brigo and Chourdakis (2008) [10] who deal with unilateral and asymmetric counterparty risk.”