the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives … contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional … indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi …

, is a novel combination of the Merton structural model which measures distance to default and the timeless capital asset …

. Keywords: credit default swaps, credit derivatives, credit risk, default risk, default-free interest rates …Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple … to default swap premiums. We find that the model works well for investment grade credit default swaps, but only if we use …

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form … model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default … swap premiums. We find that the model works well for investment grade credit default swaps, but only if we use swap or repo …