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Credit Swap Valuation
by Darrell Duffie of Stanford University
November 6, 1998
Abstract: This article explains the basics of pricing credit swaps.
Published in: Financial Analysts Journal, Vol. 55, No. 1, (January/February 1999), pp. 73-87.Then reprinted in: Credit Risk: Models and Management edited by David Shimko, Risk Books, 2000.
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