CDSs, CVA and DVA – a structural approach

CDSs, CVA and DVA – a structural approach


The financial crisis has profoundly changed the nature of credit markets in general and correlation trading in particular. The focus has shifted from complicated products, such as bespoke collateralised debt obligations (CDOs) and CDOs-squared, towards simpler products, such as credit indexes and collateralised credit default swaps (CDSs), for which risks are somewhat easier to understand and model. However, as recent events have shown, the trading of even these relatively simple products can

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