Implied Default Probability and Credit Derivatives

Koichi Matsumoto ()

Asia-Pacific Financial Markets, 2003, vol. 10, issue 2, 129-149

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

Keywords: implied default probability; forward measure; default swap; credit spread option; defaultable bond (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/s10690-005-6007-z

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