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In Rememberance: World Trade Center (WTC)

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First-to-Default Valuation

by Darrell Duffie of the Université de Paris, Dauphine, & Stanford University

May 10, 1998

Abstract: This paper provides simple models and applications for the valuation and simulation of contingent claims that depend on the time and identity of the first to occur of a given list of credit events, such as defaults. Examples include credit derivatives with a first-to-default feature, credit derivatives signed with a defaultable counterparty, credit-enhancement or guarantees, and other related financial positions.

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