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Credit Default Swap valuation
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2014-10-27
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Credit default swap [CDS] logically extends previous demonstrations on CVA theme and shows how these measures are connected. CDS are useful derivative contracts that help controlling credit exposures to a given reference entity and therefore play important role in the counterparty and credit risk management. Whilst primary use of CDS concentrates on standardised contracts, there are other interesting variations that provide control on non-static future exposures.
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CDS, counterparty risk, credit risk, financial derivatives
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| CDS with Mathematica 10.pdf (357.9 KB) - PDF Document |
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