• 1 Introduction
  • 2 The Perspective of Investors
  • 2.1 Use of and Needs for Credit Migration Derivatives
  • 2.2 Bets on CMDs
  • 2.3 CMD Instruments
  • 3 Pricing of Credit Migration Derivatives
  • 3.1 Modelling of the Underlying
  • 3.2 Building Blocks for Pricing CMDs
  • 3.3 Credit Migration Swap
  • 3.4 Pricing the Credit Migration Swap
  • 4 Risk Neutral Default Probabilities
  • 4.1 Change of Measure
  • 5 Calibration
  • 5.1 Kalman Filter
  • 5.2 Maximum Likelihood
  • 5.3 Calibration of the Risk-free Rate
  • 5.4 Calibration of the Risk-Neutral Migration Probabilities
  • 6 Results
  • 6.1 Calibration Results
  • 6.2 Pricing Results
  • 7 Model Validation
  • 7.1 Diculties
  • 7.2 Comparing to CDS Spreads
  • 7.3 Comparing to a Swiss bank Credit Portfolio
  • 8 Conclusion
  • Bibliography
  • A Proofs
  • B Credit Migration Swaps Spreads
  • C CDS Spreads