Implied default probability and credit derivatives

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)129-149
Number of pages21
JournalAsia-Pacific Financial Markets
Volume10
Issue number2-3
DOIs
Publication statusPublished - Sep 1 2003

All Science Journal Classification (ASJC) codes

  • Finance

Fingerprint Dive into the research topics of 'Implied default probability and credit derivatives'. Together they form a unique fingerprint.

Cite this