Abstract
We present a rigorous framework for CDS valuation and calibration to market quotes
on single-name CDSs and methods of calculating the market price of risk (MPR) on
such markets. We use the results of MPR for bond markets, and thus the MPR
corresponds to the survival probabilities, which is a non-tradable asset. Further, we
present a set-up for numerical valuation of triparty CDS agreements, where two
default risky parties trade a CDS with a third entity as reference credit.
on single-name CDSs and methods of calculating the market price of risk (MPR) on
such markets. We use the results of MPR for bond markets, and thus the MPR
corresponds to the survival probabilities, which is a non-tradable asset. Further, we
present a set-up for numerical valuation of triparty CDS agreements, where two
default risky parties trade a CDS with a third entity as reference credit.
Original language | English |
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Title of host publication | Essays on Risk and Fair Pricing : PhD Thesis |
Place of Publication | Aalborg University |
Publication date | 2018 |
Pages | 89-135 |
ISBN (Electronic) | 978-87-7210-138-5 |
Publication status | Published - 2018 |
Series | PhD Series, Faculty of Engineering and Science, Aalborg University |
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ISSN | 2446-1636 |