Counterparty credit risk and the credit default swap market

Journal of Financial Economics

Volumn 103, Issue 2, 2012, Pages 280-293

  Arora, Navneet ^a   Gandhi, Priyank ^b   Longstaff, Francis A ^b,c  

^a American Century Investments ^*  (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Collateralization; Counterparty credit risk; Credit default swaps

Indexed keywords

EID: 83955164209     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.10.001     Document Type: Article

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