Chen, Ren-Raw; Sopranzetti, Ben J. - In: Journal of Financial and Quantitative Analysis 38 (2003) 02, pp. 359-382
Credit derivatives are among the fastest growing contracts in the derivatives market. We present a simple, easily implementable model to study the pricing and hedging of two widely traded default-triggered claims: default swaps and default baskets. In particular, we demonstrate how default...