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CVA Primer and Credit Default

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

Abstract

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.

Keywords

Credit Risk Credit Default Swap Default Probability Credit Default Swap Spread Collateral Threshold 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Notes

  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

Copyright information

© Dongsheng Lu 2015

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  • Dongsheng Lu

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