Jin Hu Liang
Abstract
This paper provides a method for valuing credit default swaps using the structural framework.The default probability density function through PDE method is studied.The model is applied to the valuation of vanilla credit default swaps when the default barrier is constant.
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This paper provides a method for valuing credit default swaps using the structural framework.The default probability density function through PDE method is studied.The model is applied to the valuation of vanilla credit default swaps when the default barrier is constant.
Key concepts: Credit derivative, Credit default swap, iTraxx, Credit default swap index, Credit risk, Credit valuation adjustment, Valuation (finance), Synthetic CDO