Showing 1 - 4 of 4
This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of...
Persistent link: https://www.econbiz.de/10008776995
This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging …
Persistent link: https://www.econbiz.de/10008776999
Credit default swaps (CDSs) are term insurance contracts written on traded bonds. This review studies the economics of CDSs using the economics of insurance literature as a basis for analysis. It is alleged that trading in CDSs caused the 2007 credit crisis, and therefore trading CDSs is an evil...
Persistent link: https://www.econbiz.de/10010603957
static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this …
Persistent link: https://www.econbiz.de/10011094537