HYBRIDS - Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.

Discrete credit barrier models

Albanese, Claudio, (2005)

HYBRIDS Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.

Albanese, Claudio, (2005)

Credit derivatives: Credit barrier models The authors construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads.

Albanese, Claudio, (2003)