CVA Primer and Credit Default

  • Dongsheng Lu
Part of the Financial Engineering Explained book series (FEX)


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.


Credit Risk Credit Default Swap Default Probability Credit Default Swap Spread Collateral Threshold 
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  1. 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
  2. 12.
    See for example, M. Cameron (2012), ‘Banks Tout Break Clauses as Capital Mitigant’, Risk, March, 2012.Google Scholar

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© Dongsheng Lu 2015

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  • Dongsheng Lu

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