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Collateralized CDS and Default Dependence : Implications for the Central Clearing
http://hdl.handle.net/2261/50210
http://hdl.handle.net/2261/50210a936d98a-d29f-4b40-bff6-4a0e08c6e223
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Collateralized CDS and Default Dependence : Implications for the Central Clearing | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | CVA | |||||
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| 主題Scheme | Other | |||||
| 主題 | CSA | |||||
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| 主題Scheme | Other | |||||
| 主題 | CCP | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | swap | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | collateral | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | derivatives | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | OIS | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | EONIA | |||||
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| 主題Scheme | Other | |||||
| 主題 | Fed-Fund | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | basis | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk management | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fujii, Masaaki
× Fujii, Masaaki× Takahashi, Akihiko |
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| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the price of CDS through their default dependence even under the perfect collateralization, although the hazard rates of the two parties are totally absent from the pricing formula. As an important implication, we have also studied the situation where the investor enters an offsetting back-to-back trade with another counter party. We have provided simple numerical examples to demonstrate the change of a fair CDS premium according to the strength of default dependence among the relevant names, and then discussed its possible implications for the risk management of the central counter parties. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised in June 2012; forthcoming in The Journal of Credit Risk. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-799, 発行日 2011-04 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf799ab.html | |||||
