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Implied Default Probability and Credit Derivatives

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  • Koichi Matsumoto

Abstract

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

Suggested Citation

  • Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 129-149, September.
    • Handle: RePEc:kap:apfinm:v:10:y:2003:i:2:p:129-149
    DOI: 10.1007/s10690-005-6007-z
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    References listed on IDEAS

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    5. Robert Jarrow, 2017. "Derivatives," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 3, pages 19-28, World Scientific Publishing Co. Pte. Ltd..
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