An Introduction Lecture to Credit Derivatives
126 Pages Posted: 25 Apr 2011 Last revised: 10 Feb 2013
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: 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
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