A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives

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Subfields: Finance

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An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006, unknown): “This method has been widely used in the pricing of credit default swaps, such as Acharya et al. (2002), Das (1995), Das and Sundaram (2000) , Das et al. (2003), Duffie (1999), Hull and White (2000, 2001), Jarrow and Yildirim (2002), Scho ¨ nbucher (2003) and many others.”
Understanding the Recovery Rates on Defaulted Securities (2003, background): “…default include among others the industry standard KMV (www.kmv.com), Litterman and Iben (1991), Jarrow and Turnbull (1995), Jarrow, Lando, and Turnbull (1997), Madan and Unal (1998), Schönbucher (1998), Duffie and Singleton (1999), Das and Sundaram (2000), and Acharya, Das, and Sundaram (2002).”
Pricing Default Swaps: Empirical Evidence (2003, methodology): “Aunon-Nerin et al. (2002) also implement the Das and Sundaram (2000) tree model, but on just 75 observations.”