CDSs, CVA and DVA – a structural approach

CDSs, CVA and DVA – a structural approach

technology

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 ca

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: