17. Pricing of a single name credit derivative

  1. Vinod Kothari

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390412.ch17

Credit Derivatives and Structured Credit Trading, Revised Edition

Credit Derivatives and Structured Credit Trading, Revised Edition

How to Cite

Kothari, V. (2008) Pricing of a single name credit derivative, in Credit Derivatives and Structured Credit Trading, Revised Edition, John Wiley & Sons (Asia) Pte. Ltd., 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390412.ch17

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 19 SEP 2008

ISBN Information

Print ISBN: 9780470822920

Online ISBN: 9781118390412

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Keywords:

  • multi-period probabilities;
  • credit spread curve;
  • credit default swap;
  • cash inflows;
  • outflows

Summary

This chapter contains sections titled:

  • Establishing multi-period probabilities of default

  • Pricing of a credit default swap

  • Introducing details

  • Pricing of a derivative vs. pricing of a bond

  • Relevance of recovery rate

  • Valuation of a credit default swap

  • Value of upfront payment in a CDS

  • Endnote