the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Pricing Credit Risk Derivatives

by Philipp J. Schönbucher of the London School of Economics

January 1998

Abstract: In this paper the pricing of several credit risk derivatives is discussed in an intensity-based framework with both risk-free and defaultable interest rates stochastic and possibly correlated. Credit spread puts and exchange options serve as main examples. The differences to standard interest rate derivatives are analysed. Where possible closed-form solutions are given.

Download paper (323K PDF) 28 pages