Claus Pedersen

Barclays Investment Bank

5 The North Colonnade

London, Canary Wharf E14 4BB

United Kingdom

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Scholarly Papers (1)

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The Impact of Margin Interest on the Valuation of Credit Default Swaps

Journal of Derivatives, Vol. 20, No. 1, 2012
Posted: 05 Mar 2011 Last Revised: 14 Nov 2012
Yu Hang (Gabriel) Kan and Claus Pedersen
Bloomberg Tradebook and Barclays Investment Bank

Abstract:

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Variation Margin, Collateral, Interest Rate, Credit Default Swaps, Model Calibration, Derivative Pricing