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| Tekijä: | Duffie, D. |
| Otsikko: | Credit swap valuation |
| Lehti: | Financial Analysts' Journal
1999 : JAN/FEB, VOL. 55:1, p. 73-87 |
| Asiasana: | Stock markets Valuation Pricing Policy |
| Vapaa asiasana: | Swap arrangements Derivatives Spread |
| Kieli: | eng |
| Tiivistelmä: | Swaps are a form of derivative security that can be viewed as default insurance on loans or bonds. This review of the pricing of credit swaps or bonds, begins with a description of the credit swap contract, turns to pricing by reference to spreads over the risk-free rate of par floating-rate bonds of the same quality, and then considers model-based pricing. The role of asset swap spreads as a reference for pricing credit swaps is also considered. |
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