Bridge over ocean
1 November 2006 Research Foundation

Credit Risk

  1. Jeremy Graveline
  2. Michael Kokalari
Credit Risk View the full book (PDF)

This review provides a comprehensive survey of recent quantitative research on the pricing of credit risk. It also explores two types of models commonly used for pricing credit risk—structural models and reduced-form models. The authors review the contract details and pricing of such popular credit derivatives as credit default swaps, collateralized debt obligations (CDOs), and basket default swaps. They discuss models for correlated default risk and supply an example of pricing a CDO using Monte Carlo analysis.

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