Actuarial Par Spread and Empirical Pricing of CDS by Decomposition

Jin-Chuan Duan

Chapter 3 in Global Credit Review:Volume 4, 2014, pp 51-65 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:INTRODUCTIONTERM STRUCTURE OF PHYSICAL PDs AND ACTUARIAL PAR SPREADSA NUMERICAL EXAMPLEEMPIRICAL PRICING OF CDS VIA DECOMPOSITIONACKNOWLEDGMENTNOTESAPPENDIXREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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