Benchmark Pricing of Credit Derivatives Under a Standard Market Model

Mark Craddock and Eckhard Platen ()
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Mark Craddock: Department of Mathematics, University of Technology Sydney

No 60, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper makes use of an integrated benchmark modelling framework that allows us to model credit risk. We demonstrate how to price contingent claims by taking expectations under the real world probability measure in a benchmarked world. Furthermore, put and call options on an index are studied that measure the credit worthiness of a firm.

Keywords: credit risk; benchmark pricing; credit derivatives; credit spreads (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2001-06-01
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