… Abstract We investigate how market participants price and manage counterparty risk in the
… on single-name credit default swap (CDS) transactions. We find that counterparty risk has a …

… of counterparty risk on the client’s choice of dealer counterparty. For clearable contracts, we
find that the choice of … and reference entities as well as the overall risk in the financial market. …

… quality of the reference entity is low, the effect of counterparty risk on DSR could even outweigh
… As an alternative choice, the protection buyer may enter into a new contract with a new …

… participants can reduce the accumulation of counterparty risk by trading with organisations
of a larger size, except for pairs between dealers and asset managers before 2013. …

… Where it is necessary to make a choice, this article will assume a recovery of a fixed fraction
ρ of a notional of unity, and will use this same assumption both in the pricing of the bonds …

… In this section we abandon the choice of bucketing the counterparty default time τ2 in
intervals and move to implementing directly the original formula (2.2), whose relevant term in our …

… issues: modelling credit exposure and pricing counterparty risk. In … to match marketimplied
volatilities of options on the price … from the term structure of credit-default swap (CDS) spreads. …

… The choice of credit sensitive instruments … three-firm contagion risk models, we provide
the insight on how counterparty risks influence the swap rate in a credit default swap. It may be …

… counterparty risk in arguing that derivatives and especially … options, but rather both choices
exist in a number of markets. … a third choice—greater use of clearinghouses without exchange …

… counterparty. Whereas efficient and relatively easy to calibrate to credit default swaps (CDS)
spreads and market … barrier options. Most of our results are meaningful more generally for …