Implied Default Probability and Credit Derivatives

Recently many kinds of credit derivatives are traded in the market. The default probability implied in the market becomes important to price some credit derivatives. Also it is useful for managing the credit risk because it includes the market information. In this paper we show how to calculate the implied default probability in the default swap market or the defaultable bond market. Copyright Springer Science + Business Media, Inc. 2003

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Year of publication:	2003
Authors:	Matsumoto, Koichi
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 10.2003, 2, p. 129-149
Publisher:	Springer
Subject:	implied default probability \| forward measure \| default swap \| credit spread option \| defaultable bond

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005727054