Bridge over ocean
1 January 1999 Financial Analysts Journal Volume 55, Issue 1

Credit Swap Valuation

  1. Darrell Duffie

This review of the pricing of credit swaps, a form of derivative security that can be viewed as default insurance on loans or bonds, begins with a description of the credit swap contract, turns to pricing by reference to spreads over the risk-free rate of par floating-rate bonds of the same quality, and then considers model-based pricing. The role of asset swap spreads as a reference for pricing credit swaps is also considered.

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