Title: Contingent credit default swaps: accurate and approximate pricing
Abstract: In this paper, we analyze the pricing of contingent credit default swaps (CCDSs), which provide protection against default losses in derivative transactions. In a framework with both asset and interest rate risk, we obtain a meaningful semi-analytical solution for CCDS prices with an interest rate swap as underlying. Our model yields three major contributions:
Publication Year: 2016
Publication Date: 2016-03-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 1
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