Graduate School of Economics, The University of Tokyo
Graduate School of Economics, The University of Tokyo
抄録
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
Revised in June 2012; forthcoming in The Journal of Credit Risk.
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-799
発行年
2011-04
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
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
Collateralized CDS and Default Dependence : Implications for the Central Clearing
