Jin Chen
Abstract
Credit default swap is a new financial instrument for controlling credit risk. This paper develops a model to pricing credit default swap by modeling the evolution of firm value as a jump diffusion process. Under the jump diffusion process, a firm can default instantaneously because of a sudden drop in its value.
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Credit default swap is a new financial instrument for controlling credit risk. This paper develops a model to pricing credit default swap by modeling the evolution of firm value as a jump diffusion process. Under the jump diffusion process, a firm can default instantaneously because of a sudden drop in its value.
Key concepts: Credit default swap, Jump diffusion, Swap (finance), Credit valuation adjustment, Jump, Credit risk, Credit default swap index, Credit derivative