摘要翻译：
本文研究了连续担保CDS的定价问题。我们已经利用“生存度量”以一种直接的方式推导出定价公式。结果表明，即使在完善的担保条件下，尽管CDS定价公式中完全没有交易双方的风险率，但交易双方和投资者通过违约依赖关系在CDS价格中仍然存在不可消除的痕迹。作为一个重要的暗示，我们还研究了投资者与另一个对手方进入抵销背靠背交易的情况。我们提供了简单的数值例子来说明公平CDS溢价根据相关名称之间违约依赖强度的变化，并讨论了它对中央对手方风险管理的可能影响。
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英文标题：
《Collateralized CDS and Default Dependence》
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作者：
Masaaki Fujii, Akihiko Takahashi
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the price of CDS through their default dependence even under the perfect collateralization, although the hazard rates of the two parties are totally absent from the pricing formula. As an important implication, we have also studied the situation where the investor enters an offsetting back-to-back trade with another counter party. We have provided simple numerical examples to demonstrate the change of a fair CDS premium according to the strength of default dependence among the relevant names, and then discussed its possible implications for the risk management of the central counter parties.
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PDF链接：
https://arxiv.org/pdf/1104.1855