This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation … of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses … both the risk-neutral probabilities of default implied from credit spreads and the real-world (physical) default …

examine how the supply of credit by banks that rely more on wholesale funding changed during periods of lowfor- long interest …

against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …