CDS Market Formulas and Models Damiano Brigo Credit Models

@inproceedings{Matteotti2005CDSMF,
  title={CDS Market Formulas and Models Damiano Brigo Credit Models},
  author={Corso Matteotti},
  year={2005}
}
  • Corso Matteotti
  • Published 2005
In this work we analyze market payoffs of Credit Default Swaps (CDS) and we derive rigorous standard market formulas for pricing options on CDS. Formulas are based on modelling CDS spreads which are consistent with simple market payoffs, and we introduce a subfiltration structure allowing all measures to be equivalent to the risk neutral measure. Then we investigate market CDS spreads through change of measure and consider possible choices of rates for modelling a complete term structure of CDS… CONTINUE READING

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