Credit Swap Valuation
Author:
Affiliation:
1. Darrell Duffie is a professor of finance at the Stanford University Graduate School of Business.
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance,Accounting
Link
https://www.tandfonline.com/doi/pdf/10.2469/faj.v55.n1.2243
Reference8 articles.
1. Defaulted Bonds: Demand, Supply and Performance, 1987–1992
2. Credit Risk in Private Debt Portfolios
3. Davis, M., and T. Mavroidis. 1997. “Valuation and Potential Exposure of Default Swaps.” Technical Note RPD-18.Tokyo: Mitsubishi International.
4. Special Repo Rates
5. Using Default Rates to Model the Term Structure of Credit Risk
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