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Credit Derivatives

Author

Listed:
  • Giandomenico, Rossano

Abstract

The article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.

Suggested Citation

  • Giandomenico, Rossano, 2010. "Credit Derivatives," MPRA Paper 21793, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:21793
    as

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    File URL: https://mpra.ub.uni-muenchen.de/24926/1/MPRA_paper_24926.pdf
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    References listed on IDEAS

    as
    1. Duffie, Darrell & Singleton, Kenneth J, 1997. "An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Implied Default Probability; Implied Correlation; Implied Time to Default;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    NEP fields

    This paper has been announced in the following NEP Reports:

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