A note on replicating a CDS through a repo and an asset swap
classification
💱 q-fin.PR
keywords
assetnoteswapadjustmentagreementamountbreakclause
Add this Pith Number to your LaTeX paper
What is a Pith Number?\usepackage{pith}
\pithnumber{MJKG7WNC}
Prints a linked pith:MJKG7WNC badge after your title and writes the identifier into PDF metadata. Compiles on arXiv with no extra files. Learn more
read the original abstract
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment formulas.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.