Credit Derivatives in an Affine Framework

Li Chen () and Damir Filipovic
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Damir Filipovic: Princeton University

Finance from University Library of Munich, Germany

Abstract: 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 spreads in the presence of counterparty default risk.

Keywords: credit derivatives; joint default correlation; affine models (search for similar items in EconPapers)
JEL-codes: C39 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2003-07-04
New Economics Papers: this item is included in nep-rmg
Note: Type of Document - pdf; prepared on IBM PC - PC; to print on HP/PostScript/Franciscan monk; pages: 21 ; figures: none. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0307002

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