Efficient Pricing of Default Risk: Different Approaches for a Single Goal

Journal of Financial Transformation, No. 13, March 2005, pp. 151-160.

10 Pages Posted: 17 Nov 2015

See all articles by Damiano Brigo

Damiano Brigo

Imperial College London - Department of Mathematics

Massimo Morini

Banca IMI; Bocconi University

Date Written: March 1, 2005

Abstract

With the rapid development of the credit derivatives market, efficient pricing of default has become an extremely important issue for the credit risk management of banks and other investors. We consider here some of the opportunities and problems that the development of this market poses to quantitative research in academia and industry. We describe different modeling choices pointing out the practical pros and cons of the different frameworks. For all different frameworks, we present innovative solutions allowing both computational efficiency and high consistency with the increasingly liquid credit reference market, the market of credit default swaps.

Keywords: Credit Default Swaps, Default Risk, Credit Risk, Intensity Models, Firm Value Models

JEL Classification: G13

Suggested Citation

Brigo, Damiano and Morini, Massimo, Efficient Pricing of Default Risk: Different Approaches for a Single Goal (March 1, 2005). Journal of Financial Transformation, No. 13, March 2005, pp. 151-160. . Available at SSRN: https://ssrn.com/abstract=2691157

Damiano Brigo (Contact Author)

Imperial College London - Department of Mathematics ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www.imperial.ac.uk/people/damiano.brigo

Massimo Morini

Banca IMI ( email )

Corso Matteotti 6
20121 Milano, 20100
Italy

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
61
Abstract Views
373
rank
356,435
PlumX Metrics