Credit Derivatives

Giandomenico, Rossano (2010): Credit Derivatives.

Abstract

The article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.

• Item Type: MPRA Paper
• Language: English
• Keywords: Implied Default Probability, Implied Correlation, Implied Time to Default
• Subjects: G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing

References

Bielecki, T. R., and Rutkowski, M.: Credit Risk: Modeling, Valuation and Hedging Springer Finance, 2002

Black, F., Scholes, M. : The Pricing of Options and Corporate Liabilities Journal of Political Economy, pag. 637-659, 1973

Dominic O’Kane: Modelling Single name and Multi name Credit Derivatives Wiley, 2008

Duffie, D. , Singleton, K. J. : An Econometric Model of the Term Structure of Interest-Rate Swap Yields Journal of Finance 52, pag. 1287-1321, September 1997

Gundlach, M. , Lehrbass, F. : Credit Risk+ in the Banking Industry Springer, 2000

Hull, J. , White, A. : Valuing Credit Default Swaps II: Modeling Default Correlations Journal of Derivatives, Vol. 8, No. 3, pag. pp. 12-22, 2001

Jarrow, R. A. Turnbull, S. : Pricing Options on Derivative Securities Subject to Credit Risk Journal of Finance, 50, pag. 53-85, 1995

Lando, D. : On Cox Processes and Credit Risky Securities Review of Derivatives Research, 2, pag. 99-120, 1998

Merton, R. : On the Pricing of Corporate Debt: The Risk Structure of Interest Rate The Journal of Finance, Vol. 29, pag. 449-470, 1973b