Credit Swap Valuation

Financial Analysts Journal

Volumn 55, Issue 1, 1999, Pages 73-87

  Duffie, Darrell ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002025238     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v55.n1.2243     Document Type: Review

References (13)

1. Altman, E. 1993. "Defaulted Bonds: Demand, Supply and Performance 1987-1992." Financial Analysts Journal, vol. 49, no. 3 (May/June):55-60.
2. Carey, M. 1998. "Credit Risk in Private Debt Portfolios." Journal of Finance, vol. 53, no. 4 (August):1363-88.
3. Davis, M., and T. Mavroidis. 1997. "Valuation and Potential Exposure of Default Swaps." Technical Note RPD-18. Tokyo: Mitsubishi International.
4. Duffie, D. 1998a. "Defaultable Term Structure Models with Fractional Recovery of Par." Working paper. Graduate School of Business, Stanford University.
5. _. 1998b. "First-to-Default Valuation." Working paper. Graduate School of Business, Stanford University.
6. _. 1996. "Special Repo Rates." Journal of Finance, vol. 51, no. 2 (June):493-526.
7. Duffie, D., and J. Liu. 1997. "Floating-Fixed Credit Spreads." Working paper. Graduate School of Business, Stanford University.
8. Duffie, D., and K. Singleton. 1997. "Modeling Term Structures of Defaultable Bonds." Working paper. Graduate School of Business, Stanford University (forthcoming in Review of Financial Studies).
9. Fons, J. 1994. "Using Default Rates to Model the Term Structure of Credit Risk." Financial Analysts Journal, vol. 50, no. 5 (September/October):25-32.
10. Jarrow, R., and S. Turnbull. 1995. "Pricing Derivatives on Financial Securities Subject to Default Risk." Journal of Finance, vol. 50, no. 1 (March):53-86.
11. Lando, D. 1998. "On Cox Processes and Credit Risky Securities." Working paper. Department of Operations Research, University of Copenhagen (forthcoming in Review of Derivatives Research).
12. Litterman, R., and T. Iben. 1991. "Corporate Bond Valuation and the Term Structure of Credit Spreads." Journal of Portfolio Management, vol. 17, no. 3 (Spring):52-64.
13. Protter, P. 1990. Stochastic Integration and Differential Equations. New York: Springer-Verlag.