Ackerer, DamienFilipovic, Damir2019-10-192019-10-192019-10-19202010.1007/s00780-019-00409-z10.2139/ssrn.2782455https://infoscience.epfl.ch/handle/20.500.14299/162101WOS:000488944800001We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by polynomials in the factors. Multi-name models can produce simultaneous defaults, generate positively as well as negatively correlated default intensities, and accommodate stochastic interest rates. A calibration study illustrates the versatility of these models by fitting CDS spread time series. A numerical analysis validates the efficiency of the option price approximation method.Business, FinanceMathematics, Interdisciplinary ApplicationsSocial Sciences, Mathematical MethodsStatistics & ProbabilityBusiness & EconomicsMathematicsMathematical Methods In Social Sciencescredit default swapcredit derivativescredit riskpolynomial modelsurvival processdefault swapsvaluationtext::journal::journal article::research article