Pricing Equity Default Swaps Using Structural Credit Models

@inproceedings{Medova2004PricingED,
  title={Pricing Equity Default Swaps Using Structural Credit Models},
  author={Elena A. Medova and Robert G. Smith},
  year={2004}
}
In early 2004, new equity-credit hybrid derivatives that offered a larger spread than vanilla credit default swaps were developed. At the centre of this development was the equity default swap (EDS), which is the subject of this paper. Structural credit models allow the simultaneous modelling of a firm’s credit quality and equity value, making them a… CONTINUE READING