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Pricing Default Swaps: Empirical Evidence
Patrick Houweling / Ton Vorst
credit derivatives / credit riskResource overview

Pricing Default Swaps: Empirical Evidence

Paper2001

by Patrick Houweling, Ton Vorst

Tags
credit derivativescredit riskinterest rates

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Suggested foundations for credit and counterparty risk and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Counterparty Credit Risk and CVA Explore Fixed Income and Interest-Rate Models

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