An Introduction Lecture to Credit Derivatives

126 Pages Posted: 25 Apr 2011 Last revised: 10 Feb 2013

See all articles by Stéphane Thomas-Simonpoli

Stéphane Thomas-Simonpoli

Labex ReFi; Université Paris I Panthéon - Sorbonne, Centre d'Economie; Ernst & Young LLP

Date Written: January 1, 2009

Abstract

This lecture is given at the University of Paris 1 Panthéon-Sorbonne, in France, to students of the Master of Research (DEA) "Money, Bank and Finance". It is a general yet thourough introduction to the understanding of credit derivatives (market practices, pricing, strategies, risk managment).

Note: Downloadable document is in French.

Keywords: Credit Derivatives, Intensity models, structural models, poisson process, copula

JEL Classification: G1, C00

Suggested Citation

Thomas-Simonpoli, Stéphane, An Introduction Lecture to Credit Derivatives (January 1, 2009). Available at SSRN: https://ssrn.com/abstract=1818846 or http://dx.doi.org/10.2139/ssrn.1818846

Stéphane Thomas-Simonpoli (Contact Author)

Labex ReFi ( email )

79 avenue de la République
Paris, 75011
France

Université Paris I Panthéon - Sorbonne, Centre d'Economie ( email )

116, Bvd de l'Hôpital
Paris, 75013
France

Ernst & Young LLP

Montreal, QC
Canada

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