2008•SSRN Electronic JournalOpen access

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Damiano Brigo, Kyriakos Chourdakis

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Key concepts: Credit risk, Credit derivative, Credit default swap, iTraxx, Volatility (finance), Business, Credit valuation adjustment, Financial system

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Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation — Research Paper | ScholarLens