Both counterparty credit risk and credit derivatives have come under greater scrutiny under volatile markets especially after the 2007’s... Show moreBoth counterparty credit risk and credit derivatives have come under greater scrutiny under volatile markets especially after the 2007’s credit crunch and the 2008’s global recession. This dissertation covers three essays topics that reflect different perspectives in credit derivatives and counterparty credit risk under volatile markets. In the first essay topic, we focuses on the modeling challenge after the 2007/2008 crisis in counterparty risks measurement by introducing a 4-factor model for simplicity with extensive comparison with a 2-factor model for both pre-crisis and post-crisis scenarios. Besides the correlation effects and basis risks concluded from the experimental results, those also implied the urgent needs for regulatory standardization (and transparency) for counterparty risk management (e.g. CVA, CSA, collateralization, etc.). Since CDS is one of the main hedging instruments for counterparty risks, therefore, we then tackle CDS in volatile market in our second essay topic. We will review some common practices in handling CDS since the standard bootstrapping failed using conventional JPM (2001). We will also examine the corresponding assumptions and limitations of the latest CDS standardization (ISDA (2009)). And we will compare this with the conventional CDS model. The third essay topic is a modeling survey on CDS with a special underlying – loan (LCDS) that unveils the potential usage and corresponding limitations of each prevailing modeling approach. PH.D in Management Science, December 2012 Show less