Credit Derivatives in an Affine Framework (Working Paper Version)
نویسندگان
چکیده
A general and efficient method for valuing credit derivatives based on multiple entities is developed 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 default swap spreads in the presence of counterparty default risk. An extension of this framework towards modeling default correlations of a large credit portfolio is also discussed.
منابع مشابه
Credit Derivatives in an Affine Framework
We 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 spr...
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