CVA Primer and Credit Default
The “risk-free” rate is at the heart of derivative valuations in the form of discounting of future cash flows or evaluating investment returns. In the following we discuss the so-called “risk-free” rate, OIS and LIBOR curves.
KeywordsCredit Risk Credit Default Swap Default Probability Credit Default Swap Spread Collateral Threshold
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- 10.See Kenyon, C. and Green, A., “Regulatory Costs Break Risk Neutrality”, Risk, August, 2014; “Risk-Neutral Pricing–Hull and White Debate Kenyon and Green”, Risk, October, 2014.Google Scholar
- 12.See for example, M. Cameron (2012), ‘Banks Tout Break Clauses as Capital Mitigant’, Risk, March, 2012.Google Scholar