Counterparty Risk and The Pricing of Defaultable Securities  

Oleh:

Jarrow, Robert A. ; Yu, Fan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1765-1800.
Topik: risks; risk assessment; models; securities prices; studies; correlation analysis; default
Fulltext: p 1765.pdf (625.38KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Motivated by recent financial crises in east asia and the united states where the downfall of a small number of firms had an economy - wide impact, this paper generalizes existing reduced - form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure to common risk factors, but also to firm - specific risks that are termed "counterparty risks". Numerical examples illustrate the effect of counterparty risk on the pricing of defaultable bonds and credit derivatives such as default swaps.

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