Equity Default Swaps (EDS) - contracts that trigger a payment when the underlying equity price falls below a predetermined level - have attracted much attention recently because of their similarities to credit default swaps (CDS) on the one hand, and American digital puts on the other....

The aim of this paper is to describe a new methodology to assess the risk of any Equity Default Swap (EDS). We show that as credit ratings can measure counter-party risk, it is technically possible to provide a quantitatively derived quot;through the cyclequot; risk estimate for EDSs. Whereas in...

The management of credit risky assets requires simulation models that integrate the disparate sources of credit and market risk, and suitable optimization models for scenario analysis. In this paper we integrate Monte Carlo simulation models for credit risk with scenario optimization, and...

We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios. The stochasticity in interest rates, credit spreads (default intensities) and rating migrations are incorporated in a unified framework. Scenarios of...