Switch to: References

Add citations

You must login to add citations.
  1. The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling.Tim Xiao - manuscript
    This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on (...)
    Download  
     
    Export citation  
     
    Bookmark   1 citation  
  • An Economic Examination of Collateralization in Different Financial Markets.Tim Xiao - manuscript
    This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized counterparty risk. This framework is very useful for pricing outstanding defaultable financial contracts. By using a unique data set, we are able to achieve a clean (...)
    Download  
     
    Export citation  
     
    Bookmark  
  • A New Model for Pricing Collateralized Financial Derivatives.Tim Xiao - 2017 - Journal of Derivatives 24 (4):8-20.
    This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This (...)
    Download  
     
    Export citation  
     
    Bookmark   6 citations