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| Counterparty Risk Valuation for CDS by Christophette Blanchet-Scalliet of the Université de Lyon, and July 2, 2008 Abstract: The valuation of counterparty risk for single name credit derivatives requires the computation of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distributions. As an application, closed formulas for counterparty risk on a CDS or for a first-to-default swap on two underlyings are obtained. Keywords: CDS, counterparty risk, first-to-default swap. Books Referenced in this paper: (what is this?)
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