Counterparty risk valuation for CDS
  The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions. As an application, closed formulas for counterparty risk on a CDS or for a first-to-default swap on two underlyings are obtained. 
Christophette Blanchet-Scalliet (ICJ), Fr\'ed\'eric Patras (JAD)