Credit Derivatives in an Affine Framework
AbstractWe develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and credit default spreads in the presence of counterparty default risk.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0307002.
Length: 21 pages
Date of creation: 04 Jul 2003
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credit derivatives; joint default correlation; affine models;
Find related papers by JEL classification:
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
This paper has been announced in the following NEP Reports:
- NEP-RMG-2003-07-13 (Risk Management)
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