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2001
The previous chapters consider the risk that a counterparty to a derivative contract defaults on its contractual obligations. Additionally, in Section 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of
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The previous chapters consider the risk that a counterparty to a derivative contract defaults on its contractual obligations. Additionally, in Section 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of
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Valuing Credit Derivatives [PDF]
The Journal of Fixed Income, 1995 Eduardo S. Schwartz +1 more
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