Implied default probability and credit derivatives

Koichi Matsumoto

doi:10.1007/s10690-005-6007-z

Implied default probability and credit derivatives

Koichi Matsumoto

mathematics and information

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	129-149
Number of pages	21
Journal	Asia-Pacific Financial Markets
Volume	10
Issue number	2-3
DOIs	https://doi.org/10.1007/s10690-005-6007-z
Publication status	Published - Sept 1 2003

All Science Journal Classification (ASJC) codes

Finance

Access to Document

10.1007/s10690-005-6007-z

Cite this

@article{58ae7adfc238462183cff69d19c213ce,

title = "Implied default probability and credit derivatives",

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.",

author = "Koichi Matsumoto",

year = "2003",

month = sep,

day = "1",

doi = "10.1007/s10690-005-6007-z",

language = "English",

volume = "10",

pages = "129--149",

journal = "Asia-Pacific Financial Markets",

issn = "1387-2834",

publisher = "Springer New York",

number = "2-3",

}

TY - JOUR

T1 - Implied default probability and credit derivatives

AU - Matsumoto, Koichi

PY - 2003/9/1

Y1 - 2003/9/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=21644432758&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=21644432758&partnerID=8YFLogxK

U2 - 10.1007/s10690-005-6007-z

DO - 10.1007/s10690-005-6007-z

M3 - Article

AN - SCOPUS:21644432758

SN - 1387-2834

VL - 10

SP - 129

EP - 149

JO - Asia-Pacific Financial Markets

JF - Asia-Pacific Financial Markets

IS - 2-3

ER -

Implied default probability and credit derivatives

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this