Counterparty risk for credit default swaps: Impact of spread volatility and default correlation

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 7, 2009, Pages 1007-1026

  Brigo, Damiano ^a   Chourdakis, Kyriakos ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Contingent credit default swaps; Copula functions; Counterparty risk; Credit Default Swaps; Credit spread volatility; Credit valuation adjustment; Default correlation; Stochastic intensity; Wrong way risk

Indexed keywords

EID: 71249102022     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005567     Document Type: Article

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