Credit Derivatives in an Affine Framework

We develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and credit default spreads in the presence of counterparty default risk.

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Year of publication:	2003-07-04
Authors:	Chen, Li ; Filipovic, Damir
Institutions:	EconWPA
Subject:	credit derivatives \| joint default correlation \| affine models

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on IBM PC - PC; to print on HP/PostScript/Franciscan monk; pages: 21 ; figures: none. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. 21 pages
Classification:	C39 - Econometric Methods: Multiple/Simultaneous Equation Models. Other
Source:	RePEc - Research Papers in Economics

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