13. Structural Counterparty Risk Valuation for Credit Default Swaps

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Christophette Blanchet-Scalliet and
  2. Frédéric Patras

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch13

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Structural Counterparty Risk Valuation for Credit Default Swaps, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch13

Author Information

  1. Université de Nice and Zeliade Systems

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • credit default swaps;
  • Gaussian copula models;
  • default risk computations;
  • Black-Cox model;
  • Brownian motion

Summary

This chapter contains sections titled:

  • Introduction

  • Modeling Two-Dimensional Default Risk

  • Counterparty Risk

  • First-to-Default on Two Underlyings

  • Appendix 13A: Theoretical Default Legs for CDS

  • Appendix 13B: First Hitting Time in a Polyhedral Domain