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research article
Credit Derivatives in an Affine Framework
An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and default swap spreads in the presence of counterparty default risk
Type
research article
Authors
Publication date
2007
Published in
Volume
14
Start page
123
End page
140
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 12, 2013
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