Abstract
We have analysed in the previous chapters the most straightforward ways of mitigating the risk of default of a counterparty, namely by imposing limits on transacted notional amounts and by negotiating collateral agreements with the counterparty.
A more flexible alternative is to buy protection or insurance on the given counterparty, typically in the form of a Credit Default Swap (CDS). In practice, however, risk mitigation via CDSs is not always straightforward.
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© 2009 Springer-Verlag Berlin Heidelberg
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Cesari, G., Aquilina, J., Charpillon, N., Filipović, Z., Lee, G., Manda, I. (2009). Pricing Counterparty Credit Risk. In: Modelling, Pricing, and Hedging Counterparty Credit Exposure. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04454-0_14
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DOI: https://doi.org/10.1007/978-3-642-04454-0_14
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-04453-3
Online ISBN: 978-3-642-04454-0
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