Implied Default Probability and Credit Derivatives
AbstractRecently 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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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 10 (2003)
Issue (Month): 2 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
implied default probability; forward measure; default swap; credit spread option; defaultable bond;
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