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

An Extended Market Model for Credit Derivatives

by Nordine Bennani of Société Générale, and
Daniel Dahan of Société Générale

October 2004

Abstract: In this paper, we present a market model for multi-issuers credit derivatives, designed in terms of forward CDS spreads and built under a standard risk-neutral probability. This is achieved through the introduction of a new family of processes, the Default Accumulator Process, which allows to fill the information gap between forward credit default swap and default time. The simulation framework is detailed in order to assert the tractability of the approach, and practical pricing examples are given.

Books Referenced in this paper:  (what is this?)

Download paper (324K PDF) 21 pages